Approximate Parameter Estimation for Mixtures of Vector Autoregressive Stationary Time Series Models
Internaional Conference on Computer Systems and Technlologies – CompSysTech'2007, Rousse, June 2007
Here we consider a mixture of autoregressive time series models. This mixture can be considered as a peculiar simplification of the classical autoregressive model with changes in regime introduced by Hamilton . Here the mathematics is easier than in the classical case based on the Hidden Markov Model technology therefore the calculations are more quick and stable. Our numerical experiments show almost perfect case identification for the simulated data.
Vector Autoregressive Model, Changes in Regime
Природни науки, математика и информатика
Natural sciences, mathematics and informatics