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