Mixtures of nonparametric autoregressions

DOI10.1080/10485252.2010.539686zbMATH Open1327.62253OpenAlexW2123184729MaRDI QIDQ3021189FDOQ3021189

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

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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)

Cites Work

• Linear Statistical Inference and its Applications
• On the convergence properties of the EM algorithm
• Title not available (Why is that?)
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• SOME THEORY ON M-SMOOTHING OF TIME SERIES
• Title not available (Why is that?)
• Local Regression and Likelihood
• Local Estimating Equations
• Robust nonparametric regression with simultaneous scale curve estimation
• Local Maximum Likelihood Estimation and Inference
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Local Likelihood Estimation
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• On geometric ergodicity of CHARME models
• A note on the identifiability of the conditional expectation for the mixtures of neural networks

Cited In (10)

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

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