Autoregressive Moving Average Infinite Hidden Markov-Switching Models

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Authors: Luc Bauwens, Jean-François Carpantier, Arnaud Dufays

Journal title: Journal of Business & Economic Statistics

Journal number: 35/2

Journal publisher: American Statistical Association

Published year: 2017

Published pages: 162-182

DOI identifier: 10.1080/07350015.2015.1123636

ISSN: 0735-0015