{
  "id": "1605.09457",
  "version": "v1",
  "published": "2016-05-31T00:56:45.000Z",
  "updated": "2016-05-31T00:56:45.000Z",
  "title": "Asymptotic properties of the maximum likelihood estimator for nonlinear AR processes with markov-switching",
  "authors": [
    "Luis-Angel Rodríguez"
  ],
  "categories": [
    "math.ST",
    "stat.TH"
  ],
  "abstract": "In this note, we propose a new approach for the proof of the consistency and normality of the maximum likelihood estimator for nonlinear AR processes with markov-switching under the assumptions of uniform exponential forgetting of the prediction filter and $\\alpha$-mixing property. We show that in the linear and Gaussian case our assumptions are fully satisfied.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-05-31T00:56:45.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "maximum likelihood estimator",
      "nonlinear ar processes",
      "asymptotic properties",
      "markov-switching",
      "assumptions"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}