The spectral representation of Markov switching ARMA models

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 112
Issue: 1
Pages: 11-15

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:112:y:2011:i:1:p:11-15
Journal Field
General
Author Count
1
Added to Database
2026-01-28