Estimating weak Markov-switching AR(1) models

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Authors: Yacouba Boubacar Maïnassara, Armel Bra, Landy Rabehasaina
Cited by: 0

Abstract

In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption on the innovation process to extend considerably the range of application of the Markov-switching AR models. We provide necessary conditions to prove the consistency and asymptotic normality of the moment estimator in a specific case. Particular attention is paid to the estimation of the asymptotic covariance matrix. Finally, some simulation studies and an application to the hourly meteorological data are presented to corroborate theoretical work.

Fields of Study & Subjects

Statistical Methods and Inference

Publication details

Journal / source
Electronic Journal of Statistics
Volume
20
Issue
1
Publication date
1 January 2026
Language
EN