On a mixture autoregressive model

@article{Wong2000OnAM,
  title={On a mixture autoregressive model},
  author={C. S. Wong and W. K. Li},
  journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  year={2000},
  volume={62}
}
  • C. Wong, W. Li
  • Published 2000
  • Computer Science
  • Journal of the Royal Statistical Society: Series B (Statistical Methodology)
We generalize the Gaussian mixture transition distribution (GMTD) model introduced by Le and co‐workers to the mixture autoregressive (MAR) model for the modelling of non‐linear time series. The models consist of a mixture of K stationary or non‐stationary AR components. The advantages of the MAR model over the GMTD model include a more full range of shape changing predictive distributions and the ability to handle cycles and conditional heteroscedasticity in the time series. The stationarity… 
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