Mixture periodic autoregressive time series models

DOI10.1016/J.SPL.2005.09.015MaRDI QIDQ2489872zbMATHOpenAlexFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 2206034 (Why is no real title available?)
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Existence of Finite Invariant Measures for Markov Processes
• Identifiability of Finite Mixtures
• Large sample properties of parameter estimates for periodic ARMA models

Cited in

(24)

• On mixture periodic Integer-Valued ARCH models
• Mixture periodic autoregressive conditional heteroskedastic models
• On mixture periodic vector autoregressive models
• scientific article; zbMATH DE number 2033195 (Why is no real title available?)
• Heteroscedastic mixture transition distribution (HMTD) model
• Finite mixture modeling of Gaussian regression time series with application to dendrochronology
• PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
• Mixture Markov regression model with application to mosquito surveillance data analysis
• PARSIMONIOUS PERIODIC TIME SERIES MODELING
• On first and second order stationarity of random coefficient models
• Integer-valued autoregressive processes with periodic structure
• Periodic autoregressive models with closed skew-normal innovations
• Mixture of Forward-Directed and Backward-Directed Autoregressive Hidden Markov Models for Time series Modeling
• First-order seasonal autoregressive processes with periodically varying parameters
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Efficient estimation for periodic autoregressive coefficients via residuals
• Discussion of a model selection method in time-series mixture models
• Seasonal count time series
• On an independent and identically distributed mixture bilinear time-series model
• Recursive online EM estimation of mixture autoregressions
• Mixture periodic autoregression with periodic ARCH errors
• Analytic expressions for predictive distributions in mixture autoregressive models
• Adaptive estimation of causal periodic autoregressive model
• Moments of mixture periodic autoregressive models

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