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A note on the identifiability of the conditional expectation for the mixtures of neural networks

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  • Stockis, Jean-Pierre
  • Tadjuidje-Kamgaing, Joseph
  • Franke, Jürgen

Abstract

We consider a generalized mixture of nonlinear AR models, a hidden Markov model for which the autoregressive functions are single layer feedforward neural networks. The nontrivial problem of identifiability, which is usually postulated for hidden Markov models, is addressed here.

Suggested Citation

  • Stockis, Jean-Pierre & Tadjuidje-Kamgaing, Joseph & Franke, Jürgen, 2008. "A note on the identifiability of the conditional expectation for the mixtures of neural networks," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 739-742, April.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:739-742
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    References listed on IDEAS

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    1. Mayte Suarez -Farinas & Carlos E. Pedreira & Marcelo C. Medeiros, 2004. "Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1092-1107, December.
    2. Franke Jürgen & Diagne Mabouba, 2006. "Estimating market risk with neural networks," Statistics & Risk Modeling, De Gruyter, vol. 24(2), pages 233-253, December.
    3. Gernot Grabher & Walter W. Powell (ed.), 2004. "Networks," Books, Edward Elgar Publishing, volume 0, number 2771.
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    Cited by:

    1. Jean‐Pierre Stockis & Jürgen Franke & Joseph Tadjuidje Kamgaing, 2010. "On geometric ergodicity of CHARME models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 141-152, May.
    2. J. Franke & J.-P. Stockis & J. Tadjuidje-Kamgaing & W. Li, 2011. "Mixtures of nonparametric autoregressions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(2), pages 287-303.
    3. Joseph Tadjuidje Kamgaing & Hernando Ombao & Richard A. Davis, 2009. "Autoregressive processes with data‐driven regime switching," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(5), pages 505-533, September.

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