Hidden Markov Mixture Autoregressive Models: Stability and Moments

DOI10.1080/03610926.2011.593283zbMath1347.62188arXiv1105.1212MaRDI QIDQ4921660

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

stability; dynamic programming; hidden Markov model; forecasting; mixture autoregressive model

Mathematics Subject Classification ID

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

62M05: Markov processes: estimation; hidden Markov models

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60G25: Prediction theory (aspects of stochastic processes)

Related Items

Markov-switching linked autoregressive model for non-continuous wind direction data, Markov switching component GARCH model: Stability and forecasting

Uses Software

• PRMLT

Cites Work

• Unnamed Item
• Analysis of time series subject to changes in regime
• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• Nonlinear time series. Nonparametric and parametric methods
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Moments of Markov switching models
• A note on the mixture transition distribution and hidden Markov models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Stochastic Neural Networks With Applications to Nonlinear Time Series
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On stability of nonlinear AR processes with Markov switching
• On a Mixture Autoregressive Model