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.
Real Time Impact Factor:
1
Author Name: Reza Habibi
URL: View PDF
Keywords: Auto-covariance Function; Auto-regressive Model; Markov Chain; Non-stationary Process; Regime Switching
ISSN: 2325-7040
EISSN: 2325-7059
EOI/DOI:
Add Citation
Views: 1144