On white noises driven by hidden Markov chains

Christian Francq; Michel Roussignol

doi:10.1111/1467-9892.00068

On white noises driven by hidden Markov chains

Christian Francq
, Michel Roussignol

Research output: Contribution to journal › Article › peer-review

Abstract

We consider a time series model where the variance of the underlying process depends on the state of a non-observed Markov chain. Maximum likelihood estimates are shown to be consistent. Estimators with asymptotic Gaussian distribution are proposed. Prediction and identification are also mentioned. This is illustrated by means of real and simulated data sets.

Original language	English
Pages (from-to)	553-578
Number of pages	26
Journal	Journal of Time Series Analysis
Volume	18
Issue number	6
DOIs	https://doi.org/10.1111/1467-9892.00068
Publication status	Published - 1 Jan 1997

Keywords

Asymptotic normality
Consistency
Hidden Markov chain
Maximum likelihood
Non-linear time series models
Switching models

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10.1111/1467-9892.00068

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title = "On white noises driven by hidden Markov chains",

abstract = "We consider a time series model where the variance of the underlying process depends on the state of a non-observed Markov chain. Maximum likelihood estimates are shown to be consistent. Estimators with asymptotic Gaussian distribution are proposed. Prediction and identification are also mentioned. This is illustrated by means of real and simulated data sets.",

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AU - Roussignol, Michel

PY - 1997/1/1

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AB - We consider a time series model where the variance of the underlying process depends on the state of a non-observed Markov chain. Maximum likelihood estimates are shown to be consistent. Estimators with asymptotic Gaussian distribution are proposed. Prediction and identification are also mentioned. This is illustrated by means of real and simulated data sets.

KW - Asymptotic normality

KW - Consistency

KW - Hidden Markov chain

KW - Maximum likelihood

KW - Non-linear time series models

KW - Switching models

UR - https://www.scopus.com/pages/publications/0001225880

U2 - 10.1111/1467-9892.00068

DO - 10.1111/1467-9892.00068

M3 - Article

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SN - 0143-9782

VL - 18

SP - 553

EP - 578

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 6

ER -

On white noises driven by hidden Markov chains

Abstract

Keywords

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