Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154119 | Statistics & Probability Letters | 2008 | 8 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Wai-Sum Chan, Yin-Ting Chan,