TY - JOUR
T1 - Analytic expressions for predictive distributions in mixture autoregressive models
AU - Boshnakov, Georgi N.
PY - 2009/8/1
Y1 - 2009/8/1
N2 - 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.
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.
UR - https://www.scopus.com/pages/publications/67649111124
U2 - 10.1016/j.spl.2009.04.009
DO - 10.1016/j.spl.2009.04.009
M3 - Article
SN - 0167-7152
VL - 79
SP - 1704
EP - 1709
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 15
ER -