Article ID Journal Published Year Pages File Type
6869088 Computational Statistics & Data Analysis 2016 18 Pages PDF
Abstract
Exact formulae are provided for the calculation of multivariate skewness and kurtosis of Markov-switching Vector Auto-Regressive (MS VAR) processes as well as for the general class of MS state space (MS SS) models. The use of the higher-order moments in non-linear modeling is illustrated with two examples. A Matlab code that implements the results is available from the authors.
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Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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Skewness and kurtosis of multivariate Markov-switching processes
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