Hellinger distance estimation of SSAR models

The present paper deals with the statistical inference of the simultaneous switching autoregressive (SSAR) model. This model has been introduced by Kunitomo and Sato (Jpn. Econ. Rev. 50 (2) (1996) 161) in order to take into account the asymmetry in financial and economical time series modelling. Under some conditions which ensure some probabilistic properties of the model, we establish, under other mild assumptions, the asymptotic properties of the minimum Hellinger distance estimates of the parameters. An application to a true data is also given.