The Analytical Covariance Matrix for Regime - Switch in Models-Juniper Publishers-Biostatistics and Biometrics Open Access Journal

JUNIPER PUBLISHERS-BIOSTATISTICS AND BIOMETRICS OPEN ACCESS JOURNAL The Analytical Covariance Matrix for Regime - Switch in Models Authored by Andrea Beccarini This letter provides an analytical solution for the covariance matrix related to the (mean) parameters of the standard Markov-switching model. The importance of avoiding numerical procedures to estimate this matrix is also highlighted. Simulations are also performed in order to verify, in small samples, the actual advantage of the analyti