Parameter estimation of the WMTD model

DOI10.1007/s11766-009-1838-4zbMath1211.62054OpenAlexW2098413261MaRDI QIDQ603174

Hongbing Qiu, J. Luo

Publication date: 5 November 2010

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-009-1838-4

zbMATH Keywords

bootstrapMarkov chainsEM algorithmconfidence regionsWeibull distributions

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Markov processes: estimation; hidden Markov models (62M05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (3)

Autoregressive density modeling with the Gaussian process mixture transition distribution ⋮ General framework and model building in the class of hidden mixture transition distribution models ⋮ On Construction and Estimation of Stationary Mixture Transition Distribution Models

Cites Work

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• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• Bootstrap methods: another look at the jackknife
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Estimation in the Mixture Transition Distribution Model
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• On a Mixture Autoregressive Model
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

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