On mixture autoregressive conditional heteroskedasticity
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Statistical Planning and Inference"
DOI: 10.1016/j.jspi.2017.12.002
Abstract: Abstract We consider mixture univariate autoregressive conditional heteroskedastic models, both with Gaussian or Student t -distributions, which were proposed in the literature for modeling nonlinear time series. We derive sufficient conditions for second order stationarity… read more here.
Keywords: autoregressive conditional; mixture; mixture autoregressive; conditional heteroskedasticity ... See more keywords
A Mixture Autoregressive Model Based on an Asymmetric Exponential Power Distribution
Sign Up to like & getrecommendations! Published in 2023 at "Axioms"
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