Spectral density of Markov switching models: Derivation, simulation studies and application
Jie Cheng · Model Assisted Statistics and Applications · 2016
This paper is concerned with frequency domain analysis of Markov mean-switching autoregressive (MMSAR) models, linear Markov switching autoregressive (LMSAR) model and transitional Markov switching autoregressive (TMSAR) model. We derive the general