Stationary mixture transition distribution (MTD) models via predictive distributions

DOI10.1016/J.JSPI.2006.05.018zbMATH Open1114.62091OpenAlexW2052061543MaRDI QIDQ997299FDOQ997299

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

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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)

Cites Work

• Finite mixture models
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Title not available (Why is that?)
• A Bayesian analysis of some nonparametric problems
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Title not available (Why is that?)
• Hierarchical Mixture Modeling With Normalized Inverse-Gaussian Priors
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• Distributional results for means of normalized random measures with independent increments
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• Bayesian nonparametric analysis for a generalized Dirichlet process prior
• Constructing First Order Stationary Autoregressive Models via Latent Processes

Cited In (4)

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

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