Year: 2011
Type: preprint
Abstract: 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.
Source: arXiv (Cornell University)
Authors: Alizadeh, S. H., Rezakhah, S.
Institution: Amirkabir University of Technology
Language: English
Subfield: Artificial Intelligence
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1665848431