Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator

Christian Francq () and Michel Roussignol
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Christian Francq: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - GENES - Groupe des Écoles Nationales d'Économie et Statistique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - GENES - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, IP Paris - Institut Polytechnique de Paris
Michel Roussignol: Université de Marne-la-Vallée - ISMEA

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Date: 1998-01
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Published in Statistics, 1998, 32 (2), pp.151-173. ⟨10.1080/02331889808802659⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05431301

DOI: 10.1080/02331889808802659

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