Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited.
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
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