Modeling nonlinear time series with local mixtures of generalized linear models

DOI10.1002/CJS.5540330108MaRDI QIDQ3023645zbMATH OpenOpenAlexFDO

Authors Alexandre X. Carvalho, Martin A. Tanner

Publication date 5 July 2005

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.5540330108

zbMATH Keywords

mixtures-of-experts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Generalized linear models (logistic models) (62J12)

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Cites work

• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
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• Estimating the order of a hidden markov model
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Hierarchical mixtures-of-experts for exponential family regression models: Approximation and maximum likelihood estimation
• On Information and Sufficiency
• On a logistic mixture autoregressive model
• On the asymptotic normality of hierarchical mixtures-of-experts for generalized linear models
• Penalized minimum‐distance estimates in finite mixture models
• Stationarity of multivariate Markov-switching ARMA models
• Threshold models in non-linear time series analysis
• Time Series Models Based on Generalized Linear Models: Some Further Results
• Time series models with univariate margins in the convolution-closed infinitely divisible class
• Topics in Advanced Econometrics
• Uniform Convergence in Probability and Stochastic Equicontinuity

Cited in

(17)

• Partial Likelihood Inference For Time Series Following Generalized Linear Models
• Autoregressive density modeling with the Gaussian process mixture transition distribution
• Modeling nonlinearities with mixtures-of-experts of time series models
• A generalized threshold mixed model for analyzing nonnormal nonlinear time series, with application to plague in Kazakhstan
• Time series mixtures of generalized \(t\) experts: ML estimation and an application to stock return density forecasting
• Local Global Neural Networks
• On a mixture vector autoregressive model
• Generalised structured models
• Mixtures of nonlinear Poisson autoregressions
• Maximum likelihood estimation of a generalized threshold stochastic regression model
• Modelling nonlinear count time series with local mixtures of Poisson autoregressions
• Temporally local maximum likelihood with application to SIS model
• A Bayesian nonparametric Markovian model for non-stationary time series
• Theory and inference for a class of nonlinear models with application to time series of counts
• Dynamic Mixture of Experts Models for Online Prediction
• Bayesian nonparametric density autoregression with lag selection
• On convergence rates of mixtures of polynomial experts

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