Moments of Mixture Periodic Autoregressive Models
DOI10.1080/03610926.2010.503017zbMath1239.62102MaRDI QIDQ2892598
Mohamed Bentarzi, M. Merzougui
Publication date: 19 June 2012
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2010.503017
expectation-maximization algorithm; periodically correlated processes; mixture periodic autoregressive models
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H20: Measures of association (correlation, canonical correlation, etc.)
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Cites Work
- Model-building problem of periodically correlated \(m\)-variate moving average processes
- Mixture periodic autoregressive time series models
- On a Mixture GARCH Time-Series Model
- ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
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- On a Mixture Autoregressive Model