On White Noises Driven by Hidden Markov Chains

Christian Francq and Michel Roussignol
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Michel Roussignol: LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées - UPEM - Université Paris-Est Marne-la-Vallée - BEZOUT - Fédération de Recherche Bézout - CNRS - Centre National de la Recherche Scientifique - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12 - CNRS - Centre National de la Recherche Scientifique

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Abstract: We consider a time series model where the variance of the underlying process depends on the state of a non‐observed Markov chain. Maximum likelihood estimates are shown to be consistent. Estimators with asymptotic Gaussian distribution are proposed. Prediction and identification are also mentioned. This is illustrated by means of real and simulated data sets

Date: 2001-12-26
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Published in Journal of Time Series Analysis, 2001, 18 (6), pp.553-578. ⟨10.1111/1467-9892.00068⟩

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Journal Article: On White Noises Driven by Hidden Markov Chains (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05431304

DOI: 10.1111/1467-9892.00068

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