Analytic expressions for predictive distributions in mixture autoregressive models

Georgi N. Boshnakov

doi:10.1016/j.spl.2009.04.009

Analytic expressions for predictive distributions in mixture autoregressive models

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Abstract

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. © 2009 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	1704-1709
Number of pages	5
Journal	Statistics and Probability Letters
Volume	79
Issue number	15
DOIs	https://doi.org/10.1016/j.spl.2009.04.009
Publication status	Published - 1 Aug 2009

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title = "Analytic expressions for predictive distributions in mixture autoregressive models",

abstract = "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. {\textcopyright} 2009 Elsevier B.V. All rights reserved.",

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AB - 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. © 2009 Elsevier B.V. All rights reserved.

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DO - 10.1016/j.spl.2009.04.009

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VL - 79

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 15

ER -

Analytic expressions for predictive distributions in mixture autoregressive models

Abstract

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