SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
研究了马尔可夫切换系数向量自回归过程的统计性质，给出了协方差平稳的充分条件，并推导了二阶矩，发现其自协方差矩阵以指数速率衰减，适用于大数定律。
Some statistical properties of a vector autoregressive process with Markov-switching coefficients are considered. Sufficient conditions for this nonlinear process to be covariance stationary are given. The second moments of the process are derived under the conditions. The autocovariance matrix decays at exponential rate, permitting the application of the law of large numbers. Under the stationarity conditions, although sharing the “mean-reverting” property with conventional linear stationary processes, the process offers richer short-run dynamics such as conditional heteroskedasticity, asymmetric responses, and occasional nonstationary behavior.