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Article: On a mixture vector autoregressive model

TitleOn a mixture vector autoregressive model
Authors
KeywordsDiagnostic checking
EM algorithm
Mixture vector autoregressive model
Multivariate time series
Stationarity
Issue Date2007
PublisherStatistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjs
Citation
Canadian Journal Of Statistics, 2007, v. 35 n. 1, p. 135-150 How to Cite?
AbstractThe authors show how to extend univariate mixture autoregressive models to a multivariate time series context. Similar to the univariate case, the multivariate model consists of a mixture of stationary or nonstationary autoregressive components. The authors give the first and second order stationarity conditions for a multivariate case up to order 2. They also derive the second order stationarity condition for the univariate mixture model up to arbitrary order. They describe an EM algorithm for estimation, as well as a diagnostic checking procedure. They study the performance of their method via simulations and include a real application.
Persistent Identifierhttp://hdl.handle.net/10722/83028
ISSN
2015 Impact Factor: 0.413
2015 SCImago Journal Rankings: 0.737
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorFong, PWen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorYau, CWen_HK
dc.contributor.authorWong, CSen_HK
dc.date.accessioned2010-09-06T08:36:06Z-
dc.date.available2010-09-06T08:36:06Z-
dc.date.issued2007en_HK
dc.identifier.citationCanadian Journal Of Statistics, 2007, v. 35 n. 1, p. 135-150en_HK
dc.identifier.issn0319-5724en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83028-
dc.description.abstractThe authors show how to extend univariate mixture autoregressive models to a multivariate time series context. Similar to the univariate case, the multivariate model consists of a mixture of stationary or nonstationary autoregressive components. The authors give the first and second order stationarity conditions for a multivariate case up to order 2. They also derive the second order stationarity condition for the univariate mixture model up to arbitrary order. They describe an EM algorithm for estimation, as well as a diagnostic checking procedure. They study the performance of their method via simulations and include a real application.en_HK
dc.languageengen_HK
dc.publisherStatistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjsen_HK
dc.relation.ispartofCanadian Journal of Statisticsen_HK
dc.subjectDiagnostic checkingen_HK
dc.subjectEM algorithmen_HK
dc.subjectMixture vector autoregressive modelen_HK
dc.subjectMultivariate time seriesen_HK
dc.subjectStationarityen_HK
dc.titleOn a mixture vector autoregressive modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0319-5724&volume=35&spage=135&epage=150&date=2007&atitle=On+a+Mixture+Vector+Autoregressive+Modelen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-34249287310en_HK
dc.identifier.hkuros133645en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-34249287310&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume35en_HK
dc.identifier.issue1en_HK
dc.identifier.spage135en_HK
dc.identifier.epage150en_HK
dc.identifier.isiWOS:000246130100009-
dc.publisher.placeCanadaen_HK
dc.identifier.scopusauthoridFong, PW=7103138432en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridYau, CW=16320144300en_HK
dc.identifier.scopusauthoridWong, CS=36862843700en_HK

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