Mixture transition distribution (MTD) modeling of heteroscedastic time series

DOI10.1016/S0167-9473(02)00191-3zbMATH Open1256.62048MaRDI QIDQ951799FDOQ951799

Authors: André Berchtold 

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Recommendations

• Heteroscedastic mixture transition distribution (HMTD) model
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• On mixture autoregressive conditional heteroskedasticity
• General framework and model building in the class of hidden mixture transition distribution models

zbMATH Keywords

mixturedegeneration of log likelihoodGEM algorithmHMTD

Mathematics Subject Classification ID

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

Cites Work

• Estimating the dimension of a model
• Finite mixture models
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Model
• ARCH modeling in finance. A review of the theory and empirical evidence
• Bayes Factors
• Estimation in the mixture transition distribution model
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (11)

• Heteroscedastic mixture double-autoregressive model for modeling nonlinear time series
• Hidden Markov mixture autoregressive models: stability and moments
• Combining endogenous and exogenous variables in a special case of non-parametric time series forecasting model
• Parameter estimation of the WMTD model
• General framework and model building in the class of hidden mixture transition distribution models
• An analysis of the flexibility of asymmetric power GARCH models
• On Construction and Estimation of Stationary Mixture Transition Distribution Models
• On a mixture vector autoregressive model
• The expectation heteroscedastic mixture transition distribution model (EHMTD)
• Optimization of mixture models: Comparison of different strategies
• Heteroscedastic mixture transition distribution (HMTD) model

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