Recursive online EM estimation of mixture autoregressions

DOI10.1080/00949655.2011.613074MaRDI QIDQ4922636zbMATH OpenOpenAlexFDO

Authors Abdelhakim Aknouche

Publication date 3 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.613074

zbMATH Keywords

EM algorithmmixture autoregressionrecursive EM algorithmrecursive prediction error methodrecursive weighted least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• A simple multivariate ARCH model specified by random coefficients
• Almost sure convergence of Titterington's recursive estimator for mixture models
• Analysis of recursive stochastic algorithms
• Analytic expressions for predictive distributions in mixture autoregressive models
• Ergodicity and existence of moments for local mixtures of linear autoregressions
• GARCH processes: structure and estimation
• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 1043533 (Why is no real title available?)
• Mixture periodic autoregressive time series models
• Multivariate mixed normal conditional heteroskedasticity
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture GARCH Time-Series Model
• On an independent and identically distributed mixture bilinear time-series model
• On-line expectation-maximization algorithm for latent data models
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Recursive estimation in mixture models with Markov regime
• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
• SOME THEOREMS IN LEAST SQUARES
• Strict stationarity of generalized autoregressive processes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(5)

• Mixture estimation with state-space components and Markov model of switching
• On mixture autoregressive conditional heteroskedasticity
• Sequential estimation of mixtures of structured autoregressive models
• Online identification of time-delay jump Markov autoregressive exogenous systems with recursive expectation-maximization algorithm
• Seasonal ARIMA models with a random period

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