On an independent and identically distributed mixture bilinear time-series model

DOI10.1111/j.1467-9892.2009.00649.xzbMath1224.62043MaRDI QIDQ3077682

Nadia Rabehi, Abdelhakim Aknouche

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00649.x

zbMATH Keywords

EM algorithm; geometric ergodicity; second-order stationarity; mixture autoregression; mixture bilinear model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Recursive online EM estimation of mixture autoregressions, Parameter estimation of Markov switching bilinear model using the (EM) algorithm, Ergodicity conditions for a double mixed Poisson autoregression, Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models, On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing, Minimum distance estimation of Markov-switching bilinear processes

Uses Software

• MBL

Cites Work

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