A Gaussian Mixture Autoregressive Model for Univariate Time Series

DOI10.1111/jtsa.12108zbMath1320.62201OpenAlexW2116098548MaRDI QIDQ5177974

Leena Kalliovirta, Pentti Saikkonen, Mika Meitz

Publication date: 9 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10138/36946

zbMATH Keywords

regime switchingergodicityMarkov chainstationaritynonlinear autoregression

Mathematics Subject Classification ID

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

Related Items (11)

A new approach to model regime switching ⋮ On Construction and Estimation of Stationary Mixture Transition Distribution Models ⋮ A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions ⋮ Bayesian nonparametric density autoregression with lag selection ⋮ Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities ⋮ Gaussian mixture vector autoregression ⋮ Testing for observation-dependent regime switching in mixture autoregressive models ⋮ Origins of monetary policy shifts: a new approach to regime switching in DSGE models ⋮ Dynamic variable selection with spike-and-slab process priors ⋮ Mixtures of Nonlinear Poisson Autoregressions ⋮ A mixture autoregressive model based on Student’s t–distribution

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