Analytic expressions for predictive distributions in mixture autoregressive models

被引：7
|
作者：
Boshnakov, Georgi N. [1 ]
机构：
[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England
来源：
STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 15期
关键词：
D O I：
10.1016/j.spl.2009.04.009
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We show that the distributions of the multi-step predictors in mixture autoregressive models are also mixtures and specify them analytically. In the case of mixtures of Gaussian or stable distributions the multi-step distributions can be obtained by simple arithmetic manipulation on components' parameters. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：1704 / 1709
页数：6
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