Mixture models for time series

DOI10.2307/3214925MaRDI QIDQ4833723zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• On a Mixture Autoregressive Model
• Mixture periodic autoregressive time series models
• On a mixture vector autoregressive model
• Stationary mixture transition distribution (MTD) models via predictive distributions

Cited in

(8)

• Dynamic mixed models for irregularly observed time series
• scientific article; zbMATH DE number 2033195 (Why is no real title available?)
• Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
• Bernoulli difference time series models
• Mixture of Forward-Directed and Backward-Directed Autoregressive Hidden Markov Models for Time series Modeling
• Mixture periodic autoregressive time series models
• The Convex Mixture Distribution: Granger Causality for Categorical Time Series
• scientific article; zbMATH DE number 447043 (Why is no real title available?)

This page was built for publication: Mixture models for time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4833723)