Recursive online EM estimation of mixture autoregressions
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Publication:4922636
DOI10.1080/00949655.2011.613074zbMath1349.62389MaRDI QIDQ4922636
Publication date: 3 June 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2011.613074
EM algorithm; recursive prediction error method; recursive EM algorithm; mixture autoregression; recursive weighted least squares
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
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