%0 Journal Article %1 citeulike:2099617 %A Hamilton, J. %D 1990 %J Journal of Econometrics %K statistics time-series %N 1-2 %P 39--70 %R 10.1016/0304-4076(90)90093-9 %T Analysis of time series subject to changes in regime %U http://dx.doi.org/10.1016/0304-4076(90)90093-9 %V 45 %X This paper introduces an EM algorithm for obtaining maximum likelihood estimates of parameters for processes subject to discrete shifts in autoregressive parameters, with the shifts themselves modeled as the outcome of a discrete-valued Markov process. The simplicity of the EM algorithm permits potential application of the approach to large vector systems.

@article{citeulike:2099617, abstract = {{This paper introduces an EM algorithm for obtaining maximum likelihood estimates of parameters for processes subject to discrete shifts in autoregressive parameters, with the shifts themselves modeled as the outcome of a discrete-valued Markov process. The simplicity of the EM algorithm permits potential application of the approach to large vector systems.}}, added-at = {2019-06-18T20:47:03.000+0200}, author = {Hamilton, J.}, biburl = {https://www.bibsonomy.org/bibtex/2cc8ae0c533af5fdb5578cc94a6e2abf2/alexv}, citeulike-article-id = {2099617}, citeulike-attachment-1 = {hamilton_90_analysis_24315.pdf; /pdf/user/alexv/article/2099617/24315/hamilton_90_analysis_24315.pdf; 08be2a971854577270405b80caeb0637327f5c6c}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/0304-4076(90)90093-9}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6VC0-4582CY8-20/2/af4ef1535da31d69fad61731d08faf45}, doi = {10.1016/0304-4076(90)90093-9}, file = {hamilton_90_analysis_24315.pdf}, interhash = {4315e295680c9320b9695557d1e6ffb9}, intrahash = {cc8ae0c533af5fdb5578cc94a6e2abf2}, issn = {03044076}, journal = {Journal of Econometrics}, keywords = {statistics time-series}, month = aug, number = {1-2}, pages = {39--70}, posted-at = {2007-12-12 17:15:19}, priority = {2}, timestamp = {2019-08-24T00:22:35.000+0200}, title = {{Analysis of time series subject to changes in regime}}, url = {http://dx.doi.org/10.1016/0304-4076(90)90093-9}, volume = 45, year = 1990 }