Mixture models for time series

DOI10.2307/3214925zbMath0817.62076OpenAlexW4229739393MaRDI QIDQ4833723

A. Jalali, John Pemberton

Publication date: 23 May 1995

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214925

zbMATH Keywords

momentsdualityautocovariance functiontime reversalconditional distributionsstochastic matrixstationary distributionsmixture modelsnonlinear time series modelARMA covariancesself-dual time serieszero-order threshold autoregressive models

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)

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