On the ergodicity of general mixture of linear autoregressive time series

DOI10.1007/s40995-016-0030-yOpenAlexW2428318531MaRDI QIDQ1696088

Mohammad Reza Yeganegi, Rahim Chinipardaz

Publication date: 14 February 2018

Published in: Iranian Journal of Science and Technology. Transaction A: Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40995-016-0030-y

zbMATH Keywords

Markov chaingeometrical ergodicitylocal linear global neural networkmixture autoregressive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

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• Markov chains and stochastic stability
• Geometric ergodicity of Metropolis algorithms
• Ergodicity and existence of moments for local mixtures of linear autoregressions
• On a logistic mixture autoregressive model
• A Student t-mixture autoregressive model with applications to heavy-tailed financial data
• Criteria for classifying general Markov chains
• Local Global Neural Networks
• Functional-Coefficient Autoregressive Models
• On a Mixture Autoregressive Model

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