Modeling nonlinear time series with local mixtures of generalized linear models

DOI10.1002/cjs.5540330108zbMath1063.62121OpenAlexW2045019767MaRDI QIDQ3023645

Alexandre X. Carvalho, Martin A. Tanner

Publication date: 5 July 2005

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

Full work available at URL: https://doi.org/10.1002/cjs.5540330108

zbMATH Keywords

mixtures-of-experts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Monte Carlo methods (65C05)

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Autoregressive density modeling with the Gaussian process mixture transition distribution ⋮ Modeling nonlinearities with mixtures-of-experts of time series models ⋮ Bayesian nonparametric density autoregression with lag selection ⋮ A Bayesian nonparametric Markovian model for non-stationary time series ⋮ On a mixture vector autoregressive model ⋮ Time Series Mixtures of GeneralizedtExperts: ML Estimation and an Application to Stock Return Density Forecasting ⋮ Modelling nonlinear count time series with local mixtures of Poisson autoregressions ⋮ On Convergence Rates of Mixtures of Polynomial Experts ⋮ Mixtures of Nonlinear Poisson Autoregressions

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