Estimation de modèles ARMA à changements de régime récurrents

Christian Francq; Antony Gautier

doi:10.1016/j.crma.2004.04.014

Estimation de modèles ARMA à changements de régime récurrents

Christian Francq
, Antony Gautier

Université de Lille

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

This Note considers estimation of time-varying ARMA models. We focus on models with recurrent but non-periodic changes in regime. Conditions ensuring the consistency and the asymptotic normality of two sequences of least squares estimators are given. These conditions are made explicit when the regime generated process is a Markov chain.

Titre traduit de la contribution	Estimating ARMA models with recurrent regime changes
langue originale	Français
Pages (de - à)	55-58
Nombre de pages	4
journal	Comptes Rendus Mathematique
Volume	339
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/j.crma.2004.04.014
état	Publié - 1 juil. 2004
Modification externe	Oui

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10.1016/j.crma.2004.04.014

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AB - This Note considers estimation of time-varying ARMA models. We focus on models with recurrent but non-periodic changes in regime. Conditions ensuring the consistency and the asymptotic normality of two sequences of least squares estimators are given. These conditions are made explicit when the regime generated process is a Markov chain.

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M3 - Article

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Estimation de modèles ARMA à changements de régime récurrents

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