Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models

DOI10.2307/2291576zbMath0881.62096OpenAlexW4246829438MaRDI QIDQ4366094

R. Douglas Martin, Adrian E. Raftery, Nhu D. Le

Publication date: 14 December 1997

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2291576

zbMATH Keywords

EM algorithmstationaritynon-Gaussian time seriesautoregressive integrated moving average modelmixture transition distribution

Mathematics Subject Classification ID

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

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