Mixture periodic autoregressive time series models

DOI10.1016/J.SPL.2005.09.015zbMATH Open1086.62102OpenAlexW1981408088MaRDI QIDQ2489872FDOQ2489872

Authors: Q. Shao 

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.09.015

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zbMATH Keywords

EM algorithmPeriodic autocovariancesPeriodically correlated time seriesMixture periodic autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Cites Work

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• Large sample properties of parameter estimates for periodic ARMA models
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• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Identifiability of Finite Mixtures
• Existence of Finite Invariant Measures for Markov Processes
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Cited In (21)

• PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
• PARSIMONIOUS PERIODIC TIME SERIES MODELING
• On an independent and identically distributed mixture bilinear time-series model
• Recursive online EM estimation of mixture autoregressions
• Seasonal count time series
• Mixture periodic autoregressive conditional heteroskedastic models
• Periodic autoregressive models with closed skew-normal innovations
• Title not available (Why is that?)
• Mixture of Forward-Directed and Backward-Directed Autoregressive Hidden Markov Models for Time series Modeling
• Adaptive estimation of causal periodic autoregressive model
• Integer-valued autoregressive processes with periodic structure
• On first and second order stationarity of random coefficient models
• Efficient estimation for periodic autoregressive coefficients via residuals
• Analytic expressions for predictive distributions in mixture autoregressive models
• Moments of mixture periodic autoregressive models
• On mixture periodic vector autoregressive models
• First-order seasonal autoregressive processes with periodically varying parameters
• On mixture periodic Integer-Valued ARCH models
• Mixture periodic autoregression with periodic ARCH errors
• Heteroscedastic mixture transition distribution (HMTD) model
• Discussion of a model selection method in time-series mixture models

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