Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
- 1 January 1998
- journal article
- research article
- Published by Taylor & Francis in Statistics
- Vol. 32 (2), 151-173
- https://doi.org/10.1080/02331889808802659
Abstract
An autoregressive model with Markov-switching assumes a sequence of random vectors to be a non linear autoregressive model given a sequence of non observed state variables which forms a Markov chain. A particular case of this model is the hidden Markov model. In this paper conditions for the existence of an ergodic stationary solution are given and consistency of the maximum likelihood estimator is proved.Keywords
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