Mixtures of nonparametric autoregressions

DOI10.1080/10485252.2010.539686zbMath1327.62253OpenAlexW2123184729MaRDI QIDQ3021189

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Publication date: 22 July 2011

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/134474

zbMATH Keywords

mixtureEM algorithmkernel estimatesnonparametric regressionhidden variableslocal likelihoodnonparametric autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

The single-index panel data models with heterogeneous link function: mixture approach ⋮ Mixtures of regressions with changepoints ⋮ Markov switching model of nonlinear autoregressive with skew-symmetric innovations ⋮ Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach

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• On geometric ergodicity of CHARME models
• Linear Statistical Inference and its Applications

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