We review some results on stationarity and autocovariance function for Markov switching VARMA models. Then we derive a formula in closed form for the spectral density of such models, and describe some new properties of it. Our results complete those obtained by Pataracchia (2011) and Francq and Zakoian (2001).
Spectral Density of Markov Switching VARMA Models
CAVICCHIOLI, MADDALENA
2013-01-01
Abstract
We review some results on stationarity and autocovariance function for Markov switching VARMA models. Then we derive a formula in closed form for the spectral density of such models, and describe some new properties of it. Our results complete those obtained by Pataracchia (2011) and Francq and Zakoian (2001).
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