Margin-closed regime-switching multivariate time series models
边际封闭的状态切换多元时间序列模型
A regime-switching multivariate time series model which is closed under margins is built. The model imposes a restriction on all lower-dimensional sub-processes to follow a regime-switching process sharing the same latent regime sequence and having the same Markov order as the original process. The margin-closed regime-switching model is constructed by considering the multivariate margin-closed Gaussian VAR($k$) dependence as a copula within each regime, and builds…