The spectral representation of Markov switching ARMA models

B. Pataracchia

Research output: Contribution to journalArticleScientificpeer-review

Abstract

In this paper we propose a method to derive the spectral density function of Markov switching ARMA models. We apply the Riesz–Fischer theorem which defines the spectral representation as the Fourier transform of the autocovariance functions.
Original languageEnglish
Pages (from-to)11-15
JournalEconomics Letters
Volume112
Issue number1
Publication statusPublished - 2011

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Fourier transform
ARMA model
Markov switching
Spectral density
Density function

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Pataracchia, B. / The spectral representation of Markov switching ARMA models. In: Economics Letters. 2011 ; Vol. 112, No. 1. pp. 11-15.
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Pataracchia, B 2011, 'The spectral representation of Markov switching ARMA models', Economics Letters, vol. 112, no. 1, pp. 11-15.

The spectral representation of Markov switching ARMA models. / Pataracchia, B.

In: Economics Letters, Vol. 112, No. 1, 2011, p. 11-15.

Research output: Contribution to journalArticleScientificpeer-review

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AU - Pataracchia, B.

PY - 2011

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JO - Economics Letters

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SN - 0165-1765

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