Recursive online EM estimation of mixture autoregressions

DOI10.1080/00949655.2011.613074zbMath1349.62389OpenAlexW2039693830MaRDI QIDQ4922636

Abdelhakim Aknouche

Publication date: 3 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.613074

zbMATH Keywords

EM algorithmrecursive prediction error methodrecursive EM algorithmmixture autoregressionrecursive weighted least squares

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

On mixture autoregressive conditional heteroskedasticity

Cites Work

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• On a Mixture Autoregressive Conditional Heteroscedastic Model
• SOME THEOREMS IN LEAST SQUARES

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