Kaiserslautern - Fachbereich Mathematik
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In this paper we consider a multivariate switching model, with constant states means
and covariances. In this model, the switching mechanism between the basic states of
the observed time series is controlled by a hidden Markov chain. As illustration, under
Gaussian assumption on the innovations and some rather simple conditions, we prove
the consistency and asymptotic normality of the maximum likelihood estimates of the model parameters.