Autoregressive Moving Average Infinite Hidden Markov-Switching Models

@inproceedings{Bauwens2015AutoregressiveMA,
  title={Autoregressive Moving Average Infinite Hidden Markov-Switching Models},
  author={L. Bauwens and Jean-François Carpantier and Arnaud Dufays},
  year={2015}
}
Markov-switching models are usually specified under the assumption that all the parameters change when a regime switch occurs. Relaxing this hypothesis and being able to detect which parameters evolve over time is relevant for interpreting the changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the class of sticky infinite hidden Markovswitching autoregressive moving average models, in which we disentangle the break dynamics… CONTINUE READING

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