Estimation of time-varying ARMA models with Markovian changes in regime

Christian Francq and Antony Gautier

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Date: 2004-12
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Published in Statistics and Probability Letters, 2004, 70 (4), pp.243-251. ⟨10.1016/j.spl.2004.10.009⟩

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Journal Article: Estimation of time-varying ARMA models with Markovian changes in regime (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05431377

DOI: 10.1016/j.spl.2004.10.009

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