The mixture transition distribution model for high-order Markov chains and non-Gaussian time series

DOI10.1214/ss/1042727943zbMath1013.62088MaRDI QIDQ1872612

Adrian E. Raftery, André Berchtold

Publication date: 3 July 2003

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ss/1042727943

zbMATH Keywords

Markov chains; EM algorithm; spatial statistics; time series; DNA; financial time series; social behavior; wind; MTD model; mixture transition distribution model; high-order dependences

Mathematics Subject Classification ID

62M30: Inference from spatial processes

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

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Uses Software

• GLIM
• Fahrmeir

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