Article ID Journal Published Year Pages File Type
1154119 Statistics & Probability Letters 2008 8 Pages PDF
Abstract
In this paper the effects of temporal aggregation on a class of Markov switching models known as MSG models, are investigated. Mathematical formulae are derived for the first and second moments of an aggregated MSG model.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models
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