Heteroscedastic mixture transition distribution (HMTD) model

DOI10.1007/S12190-008-0095-7zbMath1145.62370OpenAlexW2008017727MaRDI QIDQ949353

Zheng Tian, Hongjun Wang

Publication date: 21 October 2008

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-008-0095-7

zbMATH Keywords

stationarityECM algorithmmultimodal distributionasymmetric distributionconditional heteroscedasticityBayes information criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• Mixture periodic autoregressive time series models
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Expected Estimating Equations to Accommodate Covariate Measurement Error
• Existence of Finite Invariant Measures for Markov Processes

This page was built for publication: Heteroscedastic mixture transition distribution (HMTD) model