Application of hidden semi-Markov models in regime switching time series models

Thesis (PhD(Statistics))--University of South Australia, 2016. Includes bibliographical references (pages 165-170) In this thesis we study the VAR(1) [vector autoregressive] times series modulated by hidden Markov and hidden semi-Markov processes. These are examples of the so-called regime switching time series models. For the semi-Markov case, the time duration of the regimes can be arbitrarily distributed.