Modeling Panel Time Series with Mixture Autoregressive Model

Autor:	Wai Keung Li, Shusong Jin
Rok vydání:	2021
Předmět:	Series (mathematics) Autoregressive model Computer science Expectation–maximization algorithm Econometrics Algorithm Panel data
Zdroj:	Journal of Data Science. 4:425-446
ISSN:	1683-8602 1680-743X
Popis:	This paper considers the mixture autoregressive panel (MARP) model. This model can capture the burst and multi-modal phenomenon in some panel data sets. It also enlarges the stationarity region of the tra- ditional AR model. An estimation method based on the EM algorithm is proposed and the assumption required of the model is quite low. To illus- trate the method, we fitted the MARP model to the gray-sided voles data. Another MARP model with less restriction is also proposed.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e3285a3aabff8625893357cb2c0cd362 https://doi.org/10.6339/jds.2006.04(4).296 Zobrazit plný text záznamu