A Gaussian Mixture Autoregressive Model for Univariate Time Series-Reference-Cited by-同舟云学术

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A Gaussian Mixture Autoregressive Model for Univariate Time Series

Published:2014-12-16 Issue:2 Volume:36 Page:247-266
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Kalliovirta Leena¹,Meitz Mika¹,Saikkonen Pentti²

Affiliation:

1. Department of Political and Economic Studies University of Helsinki University of Helsinki Finland

2. Department of Mathematics and Statistics University of Helsinki Helsinki Finland

Funder

Suomen Akatemia

Suomen Kulttuurirahasto

Bank of Finland

OP-Pohjola Group Research Foundation

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12108

Reference29 articles.

1. Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

2. The ACR Model: A Multivariate Dynamic Mixture Autoregression*

3. The Lindeberg-Levy Theorem for Martingales

4. Mixtures-of-Experts of Autoregressive Time Series: Asymptotic Normality and Model Specification

5. Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models

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