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A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models
- Source :
-
Statistics & Probability Letters . Apr2008, Vol. 78 Issue 6, p728-735. 8p. - Publication Year :
- 2008
-
Abstract
- Abstract: In this paper the effects of temporal aggregation on a class of Markov switching models known as MSG models, are investigated. Mathematical formulae are derived for the first and second moments of an aggregated MSG model. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 78
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 31399418
- Full Text :
- https://doi.org/10.1016/j.spl.2007.09.036