On square-integrability of an AR process with Markov switching
For an autoregressive process with Markov switching, we give a condition ensuring the existence of a square-integrable stationary solution. Unlike conditions based on top Lyapounov exponents, our condition is directly expressed in terms of the parameters of the model. Specific examples are also provided to give more details on this condition. © 2001 Elsevier Science B.V.link_to_subscribed_fulltex
AR process, 60J20, Markov switching, Stationary solution, 62M10
Publisher: 'Elsevier BV'
DOI identifier: 10.1016/S0167-7152(00)00206-6
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