Analytic expressions for predictive distributions in mixture autoregressive models

Georgi N. Boshnakov

Statistics & Probability Letters, 2009, vol. 79, issue 15, 1704-1709

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.

Date: 2009
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