Mixture models for time series

DOI10.2307/3214925zbMATH Open0817.62076OpenAlexW4229739393MaRDI QIDQ4833723FDOQ4833723

Authors: Assad Jalali, John Pemberton 

Publication date: 23 May 1995

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214925

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zbMATH Keywords

momentsmixture modelsdualitystochastic matrixconditional distributionstime reversalautocovariance functionstationary distributionsnonlinear time series modelARMA covariancesself-dual time serieszero-order threshold autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (8)

• Dynamic mixed models for irregularly observed time series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bernoulli difference time series models
• Mixture of Forward-Directed and Backward-Directed Autoregressive Hidden Markov Models for Time series Modeling
• Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
• The Convex Mixture Distribution: Granger Causality for Categorical Time Series
• Mixture periodic autoregressive time series models

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