Autoregressive processes with data-driven regime switching

Keyphrases

• Applications in Finance 50%
• Asymptotic Behavior 50%
• Autoregressive Process 100%
• Brain Activity 50%
• Changes in Regime 50%
• Electroencephalogram 50%
• Existence of Moments 50%
• Exogenous Variables 100%
• Geometric Ergodicity 50%
• Hidden Markov 50%
• Markov Approach 50%
• Markov Process 100%
• Neuroscience 50%
• Parameter Estimation 50%
• Regime Switching 100%
• Somatosensory Stimuli 50%
• Stability Properties 50%
• Stationarity 50%
• Switching Regime 50%
• Transition Probability 50%
• Vector Autoregressive Model 50%
• Visual Stimuli 50%

Mathematics

• Asymptotic Behavior 50%
• Autoregressive Model 100%
• Ergodicity 50%
• Exogenous Variable 100%
• Past Value 100%
• Stationarity 50%
• Transition Probability 50%
• Underlying Markov Process 100%

Economics, Econometrics and Finance

• Regime Switching 100%
• Time Series 50%