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 language | English |
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Pages (from-to) | 11-15 |
Journal | Economics Letters |
Volume | 112 |
Issue number | 1 |
Publication status | Published - 2011 |