Approximate Parameter Estimation for Mixtures of Vector Autoregressive Stationary Time Series Models


Цветков, Димитър (2007) Approximate Parameter Estimation for Mixtures of Vector Autoregressive Stationary Time Series Models Proceedings of the Intrnational Conference on Computer Systems and Technologies, CompSys Tech’07,14-15 June, 2007, Rousse Bulgaria


 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 [1]. 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.
  Статия
  Vector Autoregressive Model, Changes in Regime.


Природни науки, математика и информатика Математика
Природни науки, математика и информатика Информатика и компютърни науки

Natural sciences, mathematics and informatics Mathematics
Natural sciences, mathematics and informatics Informatics and Computer Science

 Издадено
  4748
 Димитър Цветков

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