ANALYSIS OF TIME-SERIES SUBJECT TO CHANGES IN REGIME

被引：876

作者：

HAMILTON, JD

机构：

[1] University of Virginia, Charlottesville

来源：

JOURNAL OF ECONOMETRICS | 1990年 / 45卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0304-4076(90)90093-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces an EM algorithm for obtaining maximum likelihood estimates of parameters for processes subject to discrete shifts in autoregressive parameters, with the shifts themselves modeled as the outcome of a discrete-valued Markov process. The simplicity of the EM algorithm permits potential application of the approach to large vector systems. © 1990.

引用

页码：39 / 70

页数：32

共 28 条

[1] A MAXIMIZATION TECHNIQUE OCCURRING IN STATISTICAL ANALYSIS OF PROBABILISTIC FUNCTIONS OF MARKOV CHAINS [J].