Mathematics and Statistics Vol. 2(2), pp. 89 - 100
DOI: 10.13189/ms.2014.020205
Reprint (PDF) (257Kb)

On Spectral Representation of Varma Models with Change in Regime

Maddalena Cavicchioli ^*
Dept. of Economics,University of Modena and Reggio Emilia, Italy

ABSTRACT

We present various formulae in closed form for the spectral density of multivariate or univariate ARMA models subject to Markov switching, and describe some new properties of them. Many examples and numerical applications are proposed to illustrate the behaviour of the spectral density. This turns out to be useful in order to investigate various concepts of stationarity via spectral analysis.

KEYWORDS
Markov Switching VARMA, Spectral Density, Spectral Representation

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Maddalena Cavicchioli , "On Spectral Representation of Varma Models with Change in Regime," Mathematics and Statistics, Vol. 2, No. 2, pp. 89 - 100, 2014. DOI: 10.13189/ms.2014.020205.

(b). APA Format:
Maddalena Cavicchioli (2014). On Spectral Representation of Varma Models with Change in Regime. Mathematics and Statistics, 2(2), 89 - 100. DOI: 10.13189/ms.2014.020205.