Parameter estimation of the WMTD model

DOI10.1007/s11766-009-1838-4zbMath1211.62054MaRDI QIDQ603174

Hongbing Qiu, J. Luo

Publication date: 5 November 2010

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-009-1838-4

zbMATH Keywords

bootstrap; Markov chains; EM algorithm; confidence regions; Weibull distributions

Mathematics Subject Classification ID

62F25: Parametric tolerance and confidence regions

62M05: Markov processes: estimation; hidden Markov models

62F40: Bootstrap, jackknife and other resampling methods

Related Items

Autoregressive density modeling with the Gaussian process mixture transition distribution, On Construction and Estimation of Stationary Mixture Transition Distribution Models, General framework and model building in the class of hidden mixture transition distribution models

Cites Work

• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• Bootstrap methods: another look at the jackknife
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Estimation in the Mixture Transition Distribution Model
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• On a Mixture Autoregressive Model
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item