General framework and model building in the class of hidden mixture transition distribution models

DOI10.1016/J.CSDA.2014.09.011zbMATH Open1468.62029OpenAlexW2033265410MaRDI QIDQ1660196FDOQ1660196

Authors: Danilo Bolano, André Berchtold 

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.09.011

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zbMATH Keywords

model selectionBICpanel datahidden Markov modelmixture modelmixture transition distribution model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25)

Cites Work

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Cited In (5)

• Editorial: The third special issue on advances in mixture models
• Discovering hidden structures using mixture models: application to nonlinear time series processes
• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• On Construction and Estimation of Stationary Mixture Transition Distribution Models
• The expectation heteroscedastic mixture transition distribution model (EHMTD)

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