@ARTICLE{Cavicchioli_Maddalena_Autocovariance_2014,
 author={Cavicchioli, Maddalena},
 number={No 4},
 journal={Central European Journal of Economic Modelling and Econometrics},
 pages={275-289},
 howpublished={online},
 year={2014},
 publisher={Oddział PAN w Łodzi},
 abstract={We study the autocovariance structure of a general Markov switching second-order stationary VARMA model.Then we give stable finite order VARMA(p*, q*) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p* and q* with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states.},
 type={Artykuły / Articles},
 title={Autocovariance and Linear Transformations of Markov Switching VARMA Processes},
 URL={http://ochroma.man.poznan.pl/Content/103747/PDF-MASTER/mainFile.pdf},
 doi={10.24425/cejeme.2014.119243},
 keywords={time series, multivariate ARMA, state-space models, Markovchains, changes in regime, autocovariance, linear representations},
}