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Analytic expressions for predictive distributions in mixture autoregressive models

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  • Boshnakov, Georgi N.

Abstract

We show that the distributions of the multi-step predictors in mixture autoregressive models are also mixtures and specify them analytically. In the case of mixtures of Gaussian or stable distributions the multi-step distributions can be obtained by simple arithmetic manipulation on components' parameters.

Suggested Citation

  • Boshnakov, Georgi N., 2009. "Analytic expressions for predictive distributions in mixture autoregressive models," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1704-1709, August.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:15:p:1704-1709
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    References listed on IDEAS

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    1. C. S. Wong & W. K. Li, 2000. "On a mixture autoregressive model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 95-115.
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    Cited by:

    1. Davide Ravagli & Georgi N. Boshnakov, 2022. "Bayesian analysis of mixture autoregressive models covering the complete parameter space," Computational Statistics, Springer, vol. 37(3), pages 1399-1433, July.
    2. Abdelhakim Aknouche & Nadia Rabehi, 2010. "On an independent and identically distributed mixture bilinear time‐series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 113-131, March.

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