Mixture Nonlinear Time-Series Analysis : Modelling and Forecasting

DOI10.1177/0008068320050108MaRDI QIDQ3634137zbMATH OpenOpenAlexFDO

Authors Himadri Ghosh, G. Sunilkumar, Prajneshu

Publication date 23 June 2009

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068320050108

zbMATH Keywords

Bayesian information criterionEM algorithmGaussian mixture transition distribution modelsmixture autoregressive modelsout-of-sample forecastingstochastic trend

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Microeconomic theory (price theory and economic markets) (91B24)

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