Bootstrap-based evaluation of markov-switching time series models
提出一种基于自助法的模型检验程序，通过比较数据和拟合模型的谱密度等函数来评估马尔可夫转换时间序列模型的适用性，易于实现且灵活。
This paper explores the possibility of evaluating the adequacy of Markov-switching time series models by comparing selected functionals (such as the spectral density function and moving empirical moments) obtained from the data with those of the fitted model using a bootstrap algorithm. The proposed model checking procedure is easy to implement and flexible enough to be adapted to a wide variety of models with parameters subject to Markov regime-switching. Examples with real and artificial data illustrate the potential of the methodology.