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Autoregressive moving average infinite hidden Markov-switching models

Bibliographic reference Bauwens, Luc ; Carpentier, Jean-François ; Dufays, Arnaud. Autoregressive moving average infinite hidden Markov-switching models. In: Journal of Business and Economic Statistics, Vol. 35, no.2, p. 162-182 (2017)
Permanent URL http://hdl.handle.net/2078.1/183791
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