Ghysels, Eric; McCulloch, Robert E.; Tsay, Ruey S. - Centre Interuniversitaire de Recherche en Analyse des … - 1994
We present a general class of nonlinear time series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as in the laws of motion in each of the regimes. This class of models allows for nontrivial dependencies between seasonal,...