A Mixture Autoregressive Model Based on an Asymmetric Exponential Power Distribution
In nonlinear time series analysis, the mixture autoregressive model (MAR) is an effective statistical tool to capture the multimodality of data. However, the traditional methods usually need to assume that the error follows a specific distribution that is not adaptive to the dataset. This paper prop...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/12/2/196 |