Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited.

Joseph Rynkiewicz (1, 2)

1 SAMOS - Statistique Appliquée et MOdélisation Stochastique
2 MATISSE - UMR 8595 - Modélisation Appliquée, Trajectoires Institutionnelles et Stratégies Socio-Économiques

This work concerns estimation of linear autoregressive models with Markov-switching using expectation maximisation (E.M.) algorithm. Our method generalise the method introduced by Elliot for general hidden Markov models and avoid to use backward recursion.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]; Méthodologie [stat.ME]

Joseph Rynkiewicz. Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited.. INVESTIGACIÓN OPERACIONAL, 2004, 25 (2), pp.166-173. ⟨hal-00258137⟩