Analytic expressions for predictive distributions in mixture autoregressive models

DOI10.1016/j.spl.2009.04.009zbMath1166.62301OpenAlexW2041685999MaRDI QIDQ109791

Georgi N. Boshnakov, Georgi N. Boshnakov

Publication date: August 2009

Published in: Statistics & Probability Letters, Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.04.009

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Characterization and structure theory of statistical distributions (62E10)

Related Items (7)

Bayesian analysis of mixture autoregressive models covering the complete parameter space ⋮ Unnamed Item ⋮ On first and second order stationarity of random coefficient models ⋮ A location-mixture autoregressive model for online forecasting of lung tumor motion ⋮ Recursive online EM estimation of mixture autoregressions ⋮ On an independent and identically distributed mixture bilinear time-series model ⋮ mixAR

Cites Work

• On a Mixture Autoregressive Model
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