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On square-integrability of an AR process with Markov switching

By J Yao

Abstract

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

Topics: AR process, 60J20, Markov switching, Stationary solution, 62M10
Publisher: 'Elsevier BV'
Year: 2001
DOI identifier: 10.1016/S0167-7152(00)00206-6
OAI identifier: oai:hub.hku.hk:10722/132630
Provided by: HKU Scholars Hub
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