شماره ركورد كنفرانس :
3140
عنوان مقاله :
Hidden Markov Mixture Autoregressive Models: Stability and Moments for Order p
عنوان به زبان ديگر :
Hidden Markov Mixture Autoregressive Models: Stability and Moments for Order p
پديدآورندگان :
Rezakhah S نويسنده Faculty of Mathematics and Computer Science - Amirkabir University of Institute of Research in Fundamental Sciences 746 - Tehran - ran , Hossein-Alizadeh S نويسنده Faculty of Mathematics and Computer Science - Amirkabir University of Institute of Research in Fundamental Sciences 746 - Tehran - ran
كليدواژه :
Hidden Markov model , stability , Mixture Autoregressive Model
عنوان كنفرانس :
يازدهمين كنفرانس آمار ايران
چكيده لاتين :
In this paper, we introduce a new approach to model nonlinear time series, namely Hidden Markov Mixture Autoregressive HMI-MARK,p) model. We also investigate limiting behavior of unconditional first moment of a process, and derive an appropriate upper bound for the limiting value of the variance. Further we show convergence and stability of the second moment.
شماره مدرك كنفرانس :
4219389
