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A Note on Covariance Function of a Regime Switching AR (1) Process

This paper is concerned with the auto-covariance function (ACVF) of a regime switching AR (1) process. In this model, two independent Markov chains govern on auto-regressive coefficient and standard deviation of white noise process. Our approach to solve this problem is to obtain the ACVF of a AR(1) model with time varying parameters and then to extend this result to regime switching case. An application of our formulae in model selection is proposed. Finally, a conclusion section is also given.



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Keywords: Auto-covariance Function; Auto-regressive Model; Markov Chain; Non-stationary Process; Regime Switching

ISSN: 2325-7040

EISSN: 2325-7059


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