Inference for Alternating Time Series
نویسندگان
چکیده
Suppose we observe a time series that alternates between different autoregressive processes. We give conditions under which it has a stationary version, derive a characterization of efficient estimators for differentiable functionals of the model, and use it to construct efficient estimators for the autoregression parameters and the innovation distributions. We also study the cases of equal autoregression parameters and of equal innovation densities.
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