Mixtures of nonparametric autoregressions

DOI10.1080/10485252.2010.539686MaRDI QIDQ3021189zbMATH OpenOpenAlexFDO

Authors

Publication date 22 July 2011

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10722/134474

zbMATH Keywords

mixtureEM algorithmnonparametric regressionhidden variableslocal likelihoodkernel estimatesnonparametric autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• A note on the identifiability of the conditional expectation for the mixtures of neural networks
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Linear Statistical Inference and its Applications
• Local Estimating Equations
• Local Likelihood Estimation
• Local Maximum Likelihood Estimation and Inference
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Local Regression and Likelihood
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On geometric ergodicity of CHARME models
• On the convergence properties of the EM algorithm
• Robust nonparametric regression with simultaneous scale curve estimation
• SOME THEORY ON M-SMOOTHING OF TIME SERIES

Cited in

(13)

• Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions
• Non parametric mixture of strictly monotone regression models
• Markov switching model of nonlinear autoregressive with skew-symmetric innovations
• Mixtures of regressions with predictor-dependent mixing proportions
• The single-index panel data models with heterogeneous link function: mixture approach
• Estimation of mixing proportions in the presence of autoregressively correlated training data:the case of two univariate normal populations
• A mixture autoregressive model based on Student’s t–distribution
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• Recursive online EM estimation of mixture autoregressions
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach
• Mixtures of autoregressions with an improper component for panel data
• On mixture autoregressive conditional heteroskedasticity
• Mixtures of regressions with changepoints

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