Concepedia

Switching Autoregressive Models

Switching Autoregressive Models is a regime-switching time series model that extends the classical autoregressive framework by allowing the autoregressive parameters to change dynamically across different regimes governed by a latent discrete-state Markov process.

39

Publications

2.7K

Citations

81

Authors

72

Institutions

Publications per year

2017–2026

7

Variants

Markov-switching Autoregressive ModelsMs-ar Models

Parents

Publications

39

Hidden Markov processes

Y. Ephraim, Neri Merhav · IEEE Transactions on Information Theory · 2002 · 816 citations

, , +17

The European business cycle

M. J. Artis · Oxford Economic Papers · 2003 · 299 citations

, , +16

Business Cycle Asymmetries

Michael P. Clements, Hans‐Martin Krolzig · Journal of Business and Economic Statistics · 2003 · 151 citations

, , +17

Markov-switching autoregressive models for wind time series

Pierre Ailliot, Valérie Monbet · Environmental Modelling & Software · 2011 · 128 citations

, , +14

A Nonparametric Bayesian Framework for Short-Term Wind Power Probabilistic Forecast

Wei Xie, Pu Zhang, Rong Chen et al. · IEEE Transactions on Power Systems · 2018 · 101 citations · Full text

, , +17

1–5 of 39

Authors

81

  1. VM
    Valérie Monbet

    Institut de recherche mathématique de Rennes, France

    4 publications · 222 citations

    4

    h-index

  2. PA
    Pierre Ailliot

    Université de Bretagne Occidentale, France

    4 publications · 252 citations

    4

    h-index

  3. AM
    Alain Monfort

    Centre de Recherche en Économie et Statistique, France

    3 publications · 112 citations

    3

    h-index

  4. YE
    Y. Ephraim

    George Mason University, United States

    2 publications · 858 citations

    2

    h-index

  5. HK
    Hans‐Martin Krolzig

    University of Oxford, United Kingdom

    2 publications · 193 citations

    2

    h-index

1–5 of 81

Institutions

72

  1. Institut de recherche mathématique de Rennes

    Rennes, France

    4 h-index

    6 publications

    374 citations

  2. Centre de Recherche en Économie et Statistique

    Palaiseau, France

    3 h-index

    7 publications

    295 citations

  3. Banque de France

    Paris, France

    3 h-index

    3 publications

    64 citations

  4. Institut National de la Statistique et des Etudes Economiques

    Paris, France

    3 h-index

    5 publications

    254 citations

  5. National Bureau of Economic Research

    Cambridge, United States

    2 h-index

    2 publications

    41 citations

  6. Laboratoire de Mathématiques de Bretagne Atlantique

    Brest, France

    2 h-index

    2 publications

    60 citations

  7. University of Aberdeen

    Aberdeen, United Kingdom

    2 h-index

    4 publications

    44 citations

  8. Centre National de la Recherche Scientifique

    Paris, France

    2 h-index

    2 publications

    95 citations

1–8 of 72

Venues

  1. Journal of Econometrics

    3 publications · 147 citations

    3

    h-index

  2. SSRN Electronic Journal

    Repository · 3 publications · 64 citations

    3

    h-index

  3. Computational Statistics & Data Analysis

    CSDA · 2 publications · 71 citations

    2

    h-index

  4. Journal of Mathematical Sciences

    1 publications · 14 citations

    1

    h-index

  5. Advances in Water Resources

    1 publications · 10 citations

    1

    h-index

1–5