Heteroscedastic mixture transition distribution (HMTD) model

DOI10.1007/S12190-008-0095-7zbMATH Open1145.62370OpenAlexW2008017727MaRDI QIDQ949353FDOQ949353

Authors: Hongjun Wang, Zheng Tian 

Publication date: 21 October 2008

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-008-0095-7

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zbMATH Keywords

stationarityECM algorithmmultimodal distributionasymmetric distributionconditional heteroscedasticityBayes information criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• Expected Estimating Equations to Accommodate Covariate Measurement Error
• Mixture periodic autoregressive time series models
• Existence of Finite Invariant Measures for Markov Processes

Cited In (5)

• Parameter estimation of the WMTD model
• General framework and model building in the class of hidden mixture transition distribution models
• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• The expectation heteroscedastic mixture transition distribution model (EHMTD)
• A note on the mixture transition distribution and hidden Markov models

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