Moments of Mixture Periodic Autoregressive Models

DOI10.1080/03610926.2010.503017zbMath1239.62102OpenAlexW2061786669MaRDI QIDQ2892598

Mohamed Bentarzi, M. Merzougui

Publication date: 19 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.503017

zbMATH Keywords

expectation-maximization algorithmperiodically correlated processesmixture periodic autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

On mixture periodic Integer-Valued ARCH models ⋮ On Mixture Periodic Vector Autoregressive Models

Cites Work

• Model-building problem of periodically correlated \(m\)-variate moving average processes
• Mixture periodic autoregressive time series models
• On a Mixture GARCH Time-Series Model
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model

This page was built for publication: Moments of Mixture Periodic Autoregressive Models