Fisher’s <i>z</i> Distribution-Based Mixture Autoregressive Model

Fisher’s <i>z</i> Distribution-Based Mixture Autoregressive Model

We generalize the Gaussian Mixture Autoregressive (GMAR) model to the Fisher’s <i>z</i> Mixture Autoregressive (ZMAR) model for modeling nonlinear time series. The model consists of a mixture of <i>K</i>-component Fisher’s <i>z</i> autoregressive models with the m...

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Bibliographic Details
Main Authors: Arifatus Solikhah, Heri Kuswanto, Nur Iriawan, Kartika Fithriasari
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Econometrics
Subjects:
Fisher’s <i>z</i> distribution
mixture autoregressive model
the IBM stock prices
the Brent crude oil prices
Bayesian analysis
no-U-turn sampler
Online Access:https://www.mdpi.com/2225-1146/9/3/27

Internet

https://www.mdpi.com/2225-1146/9/3/27

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