Bibi, Abdelouahab; Ghezal, Ahmed - In: Statistics & Probability Letters 100 (2015) C, pp. 192-202
In this paper, we consider the class of Markov switching bilinear processes (MS–BL) that offer remarkably rich dynamics and may be considered as an alternative to model non Gaussian data which exhibit structural changes. In these models, the parameters are allowed to depend upon a latent...