A generalized ARFIMA process with Markov-switching fractional differencing parameter
نویسندگان
چکیده
منابع مشابه
A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm combines the Durbin-Levinson and Viterbi procedures. A Monte Carlo experiment reveals that the finite s...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2009
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949650801910239