A Mixture Autoregressive Model Based on an Asymmetric Exponential Power Distribution
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DOI: 10.3390/axioms12020196
Abstract: In nonlinear time series analysis, the mixture autoregressive model (MAR) is an effective statistical tool to capture the multimodality of data. However, the traditional methods usually need to assume that the error follows a specific… read more here.
Keywords: exponential power; asymmetric exponential; model; distribution ... See more keywords