Stationary mixture transition distribution (MTD) models via predictive distributions

DOI10.1016/J.JSPI.2006.05.018MaRDI QIDQ997299zbMATHOpenAlexFDO

Authors Ramsés H. Mena, Stephen G. Walker

Publication date 23 July 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.05.018

zbMATH Keywords

Bayesian nonparametricsstationary processrandom probability measureAR modelMTD models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3954111 (Why is no real title available?)
• scientific article; zbMATH DE number 597901 (Why is no real title available?)
• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian nonparametric analysis for a generalized Dirichlet process prior
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Distributional results for means of normalized random measures with independent increments
• Finite mixture models
• Hierarchical Mixture Modeling With Normalized Inverse-Gaussian Priors
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models

Cited in

(5)

• Poisson-Driven Stationary Markov Models
• Autoregressive density modeling with the Gaussian process mixture transition distribution
• On Construction and Estimation of Stationary Mixture Transition Distribution Models
• Multivariate normal mean-variance mixture distribution based on Birnbaum-Saunders distribution
• On the construction of stationary AR(1) models via random distributions

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