Hidden Markov Mixture Autoregressive Models: Parameter Estimation

Details Hidden Markov Mixture Autoregressive Models: Parameter Estimation Hidden Markov Mixture Autoregressive Models: Parameter Estimation

2011-05-14

arxiv.org/abs/1105.2891v1

Mathematics

Statistics Theory

10 pages

Scientific paper

This report introduces a parsimonious structure for mixture of autoregressive
models, where the weighting coefficients are determined through latent random
variables as functions of all past observations. These variables follow a
hidden Markov model. We modify EM and Baum-Welch algorithms to estimate the
parameters of the model.

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