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Issue ESAIM: PS
Volume 6, 2002
Page(s) 259 - 270
DOI 10.1051/ps:2002014

References

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  6. J.D. Hamilton, Specification testing in Markov switching time series models. J. Econometrics 45 (1996) 39-70.
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  9. D.S. Poskitt and S.H. Chung, Markov chain models, time series analysis and extreme value theory. Adv. Appl. Probab. 28 (1996) 405-425.
  10. C.P. Robert, T. Rydén and D.M. Titterington, Bayesian inference in hidden Markov models through the reversible jump Markov Chain Monte-Carlo method. J. Roy. Statist. Soc. B 62 (2000) 57-75.
  11. T. Rydén, Estimating the orders of hidden Markov models. Statistics 26 (1995) 345-354.
  12. J. Zhang and R.A. Stine, Autocovariance structure of Markov regime switching models and model selection. J. Time Ser. Anal. 22 (2001) 107-124.
Abstract

Copyright EDP Sciences, SMAI 2002



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