About: Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models

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Attributs	Valeurs
type	work Article
Is Part Of	http://hub.abes.fr/edp/periodical/ps/2015/volume_19/issue_2015/w
Subject	consistency Asymptotic properties of estimators Markov processes: estimation lynx data Markov-switching autoregressive process maximum likelihood stability non-homogeneous hidden Markov process
Title	Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
Date	2015-01-01(xsd:dateTime)
has manifestation of work	http://hub.abes.fr/edp/periodical/ps/2015/volume_19/issue_2015/ps140024/m/print http://hub.abes.fr/edp/periodical/ps/2015/volume_19/issue_2015/ps140024/m/web
related by	http://hub.abes.fr/edp/periodical/ps/2015/volume_19/issue_2015/ps140024/authorship/2 http://hub.abes.fr/edp/periodical/ps/2015/volume_19/issue_2015/ps140024/authorship/1
Author	Ailliot, Pierre Pène, Françoise
Abstract	We prove the consistency of the maximum likelihood estimator for a large family of models generalizing the well known Markov-switching AutoRegressive (MS-AR) models by letting the transition probabilities vary in time and depend on covariates. We illustrate our theoretical result on the famous MacKenzie River lynx dataset and on a multi-site model for downscaling rainfall.
article type	research-article
publisher identifier	ps140024
Date Copyrighted	2015-01-01(xsd:dateTime)
Rights	© EDP Sciences, SMAI 2015
Rights Holder	EDP Sciences, SMAI
is part of this journal	ESAIM: Probability and Statistics
is primary topic of	http://hub.abes.fr/edp/periodical/ps/2015/volume_19/issue_2015/ps140024/w/record

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