On Markov-switching ARMA processes : stationarity, existence of moments, and geometric ergodicity
Year of publication: |
2009
|
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Authors: | Stelzer, Robert |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 25.2009, 1, p. 43-62
|
Subject: | Theorie | Theory | Markov-Kette | Markov chain | ARMA-Modell | ARMA model | Stochastischer Prozess | Stochastic process |
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