Abstract.A processXt=θt+e, is investigated whereetis a strict white noise andθtis a Markov chain with two real states. A realization ofXtfluctuates around two levels which correspond to the two states ofθt. Formulae for the extrapolation of the processXtand for the mean square error of the extrapolation are derived. The moments ofXtand its covariance function are calculated. The results are used to derive moment estimators for the parameters of the mod
展开▼
