Scandinavian Journal of Statistics, Vol. 45, No. 2 (June 2018), pp. 217-254 (38 pages) Non-parametric generalized likelihood ratio test is a popular method of model checking for regressions. However, ...
In this work we consider multivariate autoregressions subject to Markovian changes in regime. Estimation methods and filtering techniques for such processes are well established in the literature as ...
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