Non‐linear autoregressive time series with multivariate Gaussian mixtures as marginal distributions

C. A. Glasbey

Journal of the Royal Statistical Society Series C, 2001, vol. 50, issue 2, 143-154

Abstract: A new form of non‐linear autoregressive time series is proposed to model solar radiation data, by specifying joint marginal distributions at low lags to be multivariate Gaussian mixtures. The model is also a type of multiprocess dynamic linear model, but with the advantage that the likelihood has a closed form.

Date: 2001
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