CARPANTIER, Jean-François; DUFAYS, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2014
We propose an estimation method that circumvents the path dependence problem existing in Change-Point (CP) and Markov Switching (MS) ARMA models. Our model embeds a sticky infinite hidden Markov-switching structure (sticky IHMM), which makes possible a self-determination of the number of regimes...
