Mixture transition distribution (MTD) modeling of heteroscedastic time series

DOI10.1016/S0167-9473(02)00191-3zbMath1256.62048MaRDI QIDQ951799

André Berchtold

Publication date: 4 November 2008

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

zbMATH Keywords

mixturedegeneration of log likelihoodGEM algorithmHMTD

Mathematics Subject Classification ID

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

Related Items

Combining endogenous and exogenous variables in a special case of non-parametric time series forecasting model, General framework and model building in the class of hidden mixture transition distribution models, On Construction and Estimation of Stationary Mixture Transition Distribution Models, Parameter estimation of the WMTD model, Heteroscedastic mixture transition distribution (HMTD) model, Hidden Markov Mixture Autoregressive Models: Stability and Moments, On a mixture vector autoregressive model, Optimization of mixture models: Comparison of different strategies, An analysis of the flexibility of asymmetric power GARCH models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• Estimating the dimension of a model
• Estimation in the Mixture Transition Distribution Model
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Bayes Factors
• On a Mixture Autoregressive Model