Back to Search Start Over

A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

Authors :
Chan, Wai-Sum
Chan, Yin-Ting
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