Hidden Markov mixture autoregressive models: stability and moments

DOI10.1080/03610926.2011.593283MaRDI QIDQ4921660zbMATH OpenOpenAlexFDO

Authors S. H. Alizadeh, Saeid Rezakhah

Publication date 13 May 2013

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.1212

zbMATH Keywords

dynamic programmingforecastinghidden Markov modelmixture autoregressive modelstability

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: This paper introduces a new parsimonious structure for mixture of autoregressive models. the weighting coefficients are determined through latent random variables, following a hidden Markov model. We propose a dynamic programming algorithm for the application of forecasting. We also derive the limiting behavior of unconditional first moment of the process and an appropriate upper bound for the limiting value of the variance. This can be considered as long run behavior of the process. Finally we show convergence and stability of the second moment. Further, we illustrate the efficacy of the proposed model by simulation and forecasting.

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Cites work

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Cited in

(6)

• Markov-switching linked autoregressive model for non-continuous wind direction data
• Markov switching component GARCH model: stability and forecasting
• Structure of a double autoregressive process driven by a hidden Markov chain
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach
• Mixture of Forward-Directed and Backward-Directed Autoregressive Hidden Markov Models for Time series Modeling
• scientific article; zbMATH DE number 2217375 (Why is no real title available?)

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