Empirical likelihood estimation of the Markov-switching model

• المؤلفون الرئيسيون: Paravee Maneejuk, Woraphon Yamaka, Songsak Sriboonchitta
• التنسيق: وقائع المؤتمر
• منشور في: 2018
• الموضوعات: Physics and Astronomy
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85051406678&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/59127
• المؤسسة: Chiang Mai University

© Published under licence by IOP Publishing Ltd. The Markov-switching (MS) model is one of the most popular nonlinear time series models in the literature. However, the estimation methods which are normally used to estimate the MS models rely on the assumption of a parametric distribution, which som...