Non-linear autoregressive time series with multivariate Gaussian mixtures as marginal distributions

Authors
Glasbey, CA
Citation
Ca. Glasbey, Non-linear autoregressive time series with multivariate Gaussian mixtures as marginal distributions, J ROY STA C, 50, 2001, pp. 143-154
Citations number
29
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS
ISSN journal
00359254 → ACNP
Volume
50
Year of publication
2001
Part
2
Pages
143 - 154
Database
ISI
SICI code
0035-9254(2001)50:<143:NATSWM>2.0.ZU;2-N
Abstract
A new form of non-linear autoregressive time series is proposed to model so lar radiation data, by specifying joint marginal distributions at low lags to be multivariate Gaussian mixtures. The model is also a type of multiproc ess dynamic linear model, but with the advantage that the likelihood has a closed form.