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

DOI10.1016/J.CSDA.2014.09.011MaRDI QIDQ1660196zbMATH OpenOpenAlexFDO

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

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)

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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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