Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
复制标题
马尔可夫体制切换模型状态维数和自回归阶数的联合确定
DOI：
10.1111/j.1467-9892.2006.00487.x
复制
发表时间：
2006
影响因子：
0.9
通讯作者：
Nicola Spagnolo
中科院分区：
文献类型：
--
作者：
Zacharias Psaradakis;Nicola Spagnolo
摘要。研究了具有马尔可夫切换参数的模型的状态维数和自回归阶数的联合确定问题。提出了一种基于复杂度惩罚似然准则优化的模型选择方法。通过蒙特卡罗实验对该方法的有效性进行了评价。
Abstract. This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov‐switching parameters. A model selection procedure is proposed which is based on optimization of complexity‐penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments.