Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS. (2007). Medeiros, Marcelo ; Veiga, Alvaro ; Mendes, Eduardo .
In: Textos para discussão.
RePEc:rio:texdis:538.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 43

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Andersen, T., Bollerslev, T. and Diebold, F.: 2006, Parametric and nonparametric measurement of volatility, in G. Elliott, C. Granger and A. Timmermann (eds), Handbook of Financial Econometrics, NorthHolland, Amsterdam.
    Paper not yet in RePEc: Add citation now
  2. ardle, W., L utkepohl, H. and Chen, R.: 1997, A review of nonparametric time series analysis, International Statistical Review 65, 49–72.

  3. ardle, W.: 1990, Applied Nonparametric Regression, Cambridge University Press, Cambridge. H
    Paper not yet in RePEc: Add citation now
  4. Bollerslev, T.: 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 21, 307–328.

  5. Carvalho, A. and Skoulakis, G.: 2004, Ergodicity and existence of moments for local mixture of linear autoregressions, Technical report, Northwestern University.
    Paper not yet in RePEc: Add citation now
  6. Carvalho, A. and Tanner, M.: 2005a, Mixture-of-experts of autoregressive time series: asymptotic normality and model specification, IEEE Transactions on Neural Networks 16, 39–56.
    Paper not yet in RePEc: Add citation now
  7. Carvalho, A. and Tanner, M.: 2005b, Modeling nonlinear time series with mixture-of-experts of generalized linear models, The Canadian Journal of Statistics 33, 1–17.
    Paper not yet in RePEc: Add citation now
  8. Chan, K. S. and Tong, H.: 1986, On estimating thresholds in autoregressive models, Journal of Time Series Analysis 7, 179–190.

  9. Chen, X. and Shen, X.: 1998, Sieve Extremum Estimates for Weakly Dependent Data, Econometrica 66, 289– 314.

  10. Chen, X. and White, H.: 1998, Improved Rates and Asymptotic Normality for Nonparametric Neural Network Estimators, IEEE Transactions on Information Theory 18, 17–39.
    Paper not yet in RePEc: Add citation now
  11. Christoffersen, P. F.: 1998, Evaluating interval forecasts, International Economic Review 39, 841–862.

  12. da Rosa, J. C., Veiga, A. and Medeiros, M. C.: 2008, Tree-structured smooth transition regression models, Computational Statistics and Data Analysis 52, 2469–2488.

  13. Dempster, A. P., Laird, N. M. and Rubin, D. B.: 1977, Maximum likelihood from incomplete data via the EM algorithm, Journal of the Royal Statistical Society, Series B 39, 1–38.
    Paper not yet in RePEc: Add citation now
  14. ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS 31 McAleer, M.: 2005, Automated inference and learning in modeling financial volatility, Econometric Theory 21, 232–261.

  15. Fan, J. and Yao, Q.: 2003, Nonlinear Time Series: Nonparametric and Parametric Methods, Springer-Verlag, New York, NY.
    Paper not yet in RePEc: Add citation now
  16. Gallant, A. R. and White, H.: 1992, On learning the derivatives of an unknown mapping with multilayer feedforward networks, Neural Networks 5, 129–138.
    Paper not yet in RePEc: Add citation now
  17. Granger, C. W. J. and Ter asvirta, T.: 1993, Modelling Nonlinear Economic Relationships, Oxford University Press, Oxford.
    Paper not yet in RePEc: Add citation now
  18. Hornik, K., Stinchombe, M. and White, H.: 1990, Universal approximation of an unknown mapping and its derivatives using multi-layer feedforward networks, Neural Networks 3, 551–560. H
    Paper not yet in RePEc: Add citation now
  19. Huerta, G., Jiang, W. and Tanner, M.: 2001, Mixtures of time series models, Journal of Computational and Graphical Statistics 10, 82–89.
    Paper not yet in RePEc: Add citation now
  20. Huerta, G., Jiang, W. and Tanner, M.: 2003, Time series modeling via hierachical mixtures, Statistica Sinica 13, 1097–1118.
    Paper not yet in RePEc: Add citation now
  21. Jacobs, R. A., Jordan, M. I., Nowlan, S. J. and Hinton, G. E.: 1991, Adaptive mixtures of local experts, Neural Computation 3, 79–87.
    Paper not yet in RePEc: Add citation now
  22. Jiang, W. and Tanner, M.: 1999, On the identifiability of mixtures-of-experts, Neural Networks 12, 1253– 1258.
    Paper not yet in RePEc: Add citation now
  23. Jordan, M. I. and Jacobs, R. A.: 1994, Hierarchical mixtures of experts and the EM algorithm, Neural Computation 6, 181–214.
    Paper not yet in RePEc: Add citation now
  24. Kuan, C. M. and White, H.: 1994, Artificial neural networks: An econometric perspective, Econometric Reviews 13, 1–91.
    Paper not yet in RePEc: Add citation now
  25. Le, N., Martin, R. and Raftery, A.: 1996, Modeling flat streches, bursts, and outliers in time series using mixture transition distribution models, Journal of the American Statistical Association 91, 1504–1515.
    Paper not yet in RePEc: Add citation now
  26. Luukkonen, R., Saikkonen, P. and Ter asvirta, T.: 1988, Testing linearity against smooth transition autoregressive models, Biometrika 75, 491–499.
    Paper not yet in RePEc: Add citation now
  27. MacKay, D. J. C.: 1992, Bayesian interpolation, Neural Computation 4, 415–447.
    Paper not yet in RePEc: Add citation now
  28. Medeiros, M. and Veiga, A.: 2005, Flexible coeficient smooth transition time series model, IEEE Transactions on Neural Networks 16, 97–113.

  29. Medeiros, M., Ter asvirta, T. and Rech, G.: 2006, Building neural network models for time series: A statistical approach, Journal of Forecasting 25, 49–75.

  30. Nowlan, S. J.: 1990, Maximum likelihood competitive learning, Advances in Neural Information Processing Systems, Vol. 2, Morgan Kaufmann, pp. 574–582.
    Paper not yet in RePEc: Add citation now
  31. Poon, S. and Granger, C.: 2003, Forecasting volatility in financial markets, Journal of Economic Literature 41, 478–539.

  32. Quinn, B., McLachlan, G. and Hjort, L.: 1987, A note on the Aitkin-Rubin approach to hypothesis testing in mixture models, Journal of the Royal Statistal Society, Series B 49, 311–314.
    Paper not yet in RePEc: Add citation now
  33. Rech, G., Ter asvirta, T. and Tschernig, R.: 2001, A simple variable selection technique for nonlinear models, Communications in Statistics, Theory and Methods 30, 1227–1241.

  34. Taylor, S.: 1986, Modelling Financial Time Series, Wiley, Chichester.
    Paper not yet in RePEc: Add citation now
  35. Ter asvirta, T.: 1994, Specification, estimation, and evaluation of smooth transition autoregressive models, Journal of the American Statistical Association 89, 208–218.
    Paper not yet in RePEc: Add citation now
  36. Tong, H. and Lim, K.: 1980, Threshold autoregression, limit cycles and cyclical data (with discussion), Journal of the Royal Statistical Society, Series B 42, 245–292.
    Paper not yet in RePEc: Add citation now
  37. Tong, H.: 1978, On a threshold model, in C. H. Chen (ed.), Pattern Recognition and Signal Processing, Sijthoff and Noordhoff, Amsterdam.
    Paper not yet in RePEc: Add citation now
  38. Tong, H.: 1990, Non-linear Time Series: A Dynamical Systems Approach, Vol. 6 of Oxford Statistical Science Series, Oxford University Press, Oxford.
    Paper not yet in RePEc: Add citation now
  39. Trapletti, A., Leisch, F. and Hornik, K.: 2000, Stationary and integrated autoregressive neural network processes, Neural Computation 12, 2427–2450.
    Paper not yet in RePEc: Add citation now
  40. van Dijk, D., Ter asvirta, T. and Franses, P. H.: 2002, Smooth transition autoregressive models - a survey of recent developments, Econometric Reviews 21, 1–47.

  41. Weigend, A. S., Mangeas, M. and Srivastava, A. N.: 1995, Nonlinear gated experts for time series: Discovering regimes and avoiding overfitting, International Journal of Neural Systems 6, 373–399.
    Paper not yet in RePEc: Add citation now
  42. Wood, S., Jiang, W. and Tanner, M.: 2001, Bayesian mixture of splines for spatially adaptative nonparametric regression, Biometrika 89, 513–528.
    Paper not yet in RePEc: Add citation now
  43. Zeevi, A., Meir, R. and Adler, R.: 1998, Non-linear models for time series using mixtures of autoregressive models, Technical report, Technion. Departamento de Economia PUC-Rio Pontifícia Universidade Católica do Rio de Janeiro Rua Marques de Sâo Vicente 225 - Rio de Janeiro 22453-900, RJ Tel.(21) 35271078 Fax (21) 35271084 www.econ.puc-rio.br flavia@econ.puc-rio.br
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Data-Driven Local Polynomial Trend Estimation for Economic Data - Steady State Adjusting Trends. (2019). Fritz, Marlon.
    In: Working Papers Dissertations.
    RePEc:pdn:dispap:49.

    Full description at Econpapers || Download paper

  2. Nonparametric forecasting with one-sided kernel adopting pseudo one-step ahead data. (2017). Kim, Joocheol.
    In: Working papers.
    RePEc:yon:wpaper:2017rwp-102.

    Full description at Econpapers || Download paper

  3. Forecasting in nonlinear univariate time series using penalized splines. (2017). Kauermann, Goran ; Wegener, Michael.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0711-1.

    Full description at Econpapers || Download paper

  4. Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de laction Orange. (2017). Chikhi, Mohamed.
    In: MPRA Paper.
    RePEc:pra:mprapa:76691.

    Full description at Econpapers || Download paper

  5. Convolutional autoregressive models for functional time series. (2016). Liu, Xialu ; Chen, Rong ; Xiao, Han.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:263-282.

    Full description at Econpapers || Download paper

  6. Functional coefficient seasonal time series models with an application of Hawaii tourism data. (2015). CAI, ZONGWU ; Chen, Rong ; Liu, Xialu.
    In: Computational Statistics.
    RePEc:spr:compst:v:30:y:2015:i:3:p:719-744.

    Full description at Econpapers || Download paper

  7. Nonparametric estimates for conditional quantiles of time series. (2015). Wang, Weining ; Mwita, Peter ; Franke, Jurgen.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:99:y:2015:i:1:p:107-130.

    Full description at Econpapers || Download paper

  8. Nonparametric Estimates for Conditional Quantiles of Time Series. (2014). Franke, Jrgen ; Wang, Weining ; Mwita, Peter .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-012.

    Full description at Econpapers || Download paper

  9. Examining deterrence of adult sex crimes: A semi-parametric intervention time-series approach. (2014). Bandyopadhyay, Dipankar ; Park, Jin-Hong ; Letourneau, Elizabeth .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:69:y:2014:i:c:p:198-207.

    Full description at Econpapers || Download paper

  10. Time Series Models for Business and Economic Forecasting. (2014). Franses, Philip Hans ; Opschoor, Anne ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521520911.

    Full description at Econpapers || Download paper

  11. Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence. (2013). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:53374.

    Full description at Econpapers || Download paper

  12. Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence. (2013). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:51398.

    Full description at Econpapers || Download paper

  13. New Non-Linearity Test to Circumvent the Limitation of Volterra Expansion. (2012). Wong, Wing-Keung ; Bai, Zhidong ; Hui, Yongchang.
    In: MPRA Paper.
    RePEc:pra:mprapa:41872.

    Full description at Econpapers || Download paper

  14. Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review. (2012). Saart, Patrick ; GAO, Jiti.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2012-21.

    Full description at Econpapers || Download paper

  15. Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression. (2012). Flaschel, Peter ; Teuber, Timo ; Kauermann, Goran.
    In: Computational Economics.
    RePEc:kap:compec:v:39:y:2012:i:4:p:409-427.

    Full description at Econpapers || Download paper

  16. Real-time data revisions and the PCE measure of inflation. (2011). Tierney, Heather ; Tierney, Heather L. R., .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:4:p:1763-1773.

    Full description at Econpapers || Download paper

  17. Nonparametric analysis of financial time series by the Kernel methodology. (2010). DIEBOLT, Claude ; Chikhi, Mohamed.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:44:y:2010:i:5:p:865-880.

    Full description at Econpapers || Download paper

  18. Real-Time Data Revisions and the PCE Measure of Inflation. (2010). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:22387.

    Full description at Econpapers || Download paper

  19. Real-Time Data Revisions and the PCE Measure of Inflation. (2010). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:20625.

    Full description at Econpapers || Download paper

  20. Nonparametric transfer function models. (2010). Liu, Jun M. ; Chen, Rong ; Yao, Qiwei.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:28868.

    Full description at Econpapers || Download paper

  21. Kernel estimation for time series: An asymptotic theory. (2010). Wu, Wei Biao ; Huang, Yinxiao .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:120:y:2010:i:12:p:2412-2431.

    Full description at Econpapers || Download paper

  22. Nonparametric transfer function models. (2010). Liu, Jun M. ; Chen, Rong ; Yao, Qiwei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:1:p:151-164.

    Full description at Econpapers || Download paper

  23. Identification non paramétrique d’un processus non linéaire hétéroscédastique. (2009). Chikhi, Mohamed.
    In: MPRA Paper.
    RePEc:pra:mprapa:82108.

    Full description at Econpapers || Download paper

  24. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models. (2008). Weron, Rafał ; Misiorek, Adam.
    In: MPRA Paper.
    RePEc:pra:mprapa:10428.

    Full description at Econpapers || Download paper

  25. An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals. (2008). Slottje, Daniel ; Medeiros, Marcelo ; McAleer, Michael ; Ramos, Vicente ; Rey-Maquieira, Javier.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:2:p:372-383.

    Full description at Econpapers || Download paper

  26. ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS. (2007). Medeiros, Marcelo ; Veiga, Alvaro ; Mendes, Eduardo .
    In: Textos para discussão.
    RePEc:rio:texdis:538.

    Full description at Econpapers || Download paper

  27. Nonlinear time series: semiparametric and nonparametric methods. (2007). GAO, Jiti.
    In: MPRA Paper.
    RePEc:pra:mprapa:39563.

    Full description at Econpapers || Download paper

  28. Nonparametric models and their estimation. (2006). Kauermann, Goran.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:90:y:2006:i:1:p:137-152.

    Full description at Econpapers || Download paper

  29. Nonparametric Analysis of Financial Time Series by the Kernel Methodology. (2006). DIEBOLT, Claude ; Chikhi, Mohamed.
    In: Working Papers.
    RePEc:afc:wpaper:06-11.

    Full description at Econpapers || Download paper

  30. Semi-Parametric Modelling of Correlation Dynamics. (2005). van Dijk, Dick ; Hafner, Christian ; Franses, Philip Hans ; van Dijk, D. J. C., ; Franses, Ph. H. B. F., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:6849.

    Full description at Econpapers || Download paper

  31. Prognose mit nichtparametrischen Verfahren. (2004). Härdle, Wolfgang ; Schulz, Rainer ; Chen, Ying ; Hardle, Wolfgang Karl.
    In: Papers.
    RePEc:zbw:caseps:200407.

    Full description at Econpapers || Download paper

  32. Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques. (2004). Lubrano, Michel.
    In: L'Actualité Economique.
    RePEc:ris:actuec:v:80:y:2004:i:2:p:465-499.

    Full description at Econpapers || Download paper

  33. Nonparametric and semiparametric regression model selection. (2004). Tong, Howell ; GAO, Jiti.
    In: MPRA Paper.
    RePEc:pra:mprapa:11987.

    Full description at Econpapers || Download paper

  34. Applied Time Series Econometrics. (2004). Lütkepohl, Helmut ; Krätzig, Markus.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521547871.

    Full description at Econpapers || Download paper

  35. Un essai de prévision non paramétrique de laction France Télécom. (2003). Chikhi, Mohamed ; Terraza, Michel.
    In: MPRA Paper.
    RePEc:pra:mprapa:77268.

    Full description at Econpapers || Download paper

  36. Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [. (2003). Lebaron, Blake.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:19:y:2003:i:4:p:751-752.

    Full description at Econpapers || Download paper

  37. Modeling vector nonlinear time series using POLYMARS. (2003). Gooijer, Jan G. ; Ray, Bonnie K..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:42:y:2003:i:1-2:p:73-90.

    Full description at Econpapers || Download paper

  38. UN PRONÓSTICO NO PARAMÉTRICO DE LA INFLACIÓN COLOMBIANA. (2003). Rodríguez N., Norberto ; Rodriguez, Norberto ; Siado, Patricia.
    In: BORRADORES DE ECONOMIA.
    RePEc:col:000094:003691.

    Full description at Econpapers || Download paper

  39. Nonlinear models for ground-level ozone forecasting. (2002). Lisi, Francesco ; Gaetan, Carlo ; Bordignon, Silvano .
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:11:y:2002:i:2:d:10.1007_bf02511489.

    Full description at Econpapers || Download paper

  40. Local linear regression for estimating time series data. (2001). Cook, Deborah F. ; Nottingham, Quinton J..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:37:y:2001:i:2:p:209-217.

    Full description at Econpapers || Download paper

  41. Partially linear models. (2000). Härdle, Wolfgang ; GAO, Jiti ; Liang, Hua ; Hardle, Wolfgang.
    In: MPRA Paper.
    RePEc:pra:mprapa:39562.

    Full description at Econpapers || Download paper

  42. Average Regression Surface for Dependent Data. (2000). Fan, Jianqing ; CAI, ZONGWU.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:75:y:2000:i:1:p:112-142.

    Full description at Econpapers || Download paper

  43. Nonparametric Estimation of Generalized Impulse Response Functions. (2000). Yang, Lijian ; Tschernig, Rolf.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1417.

    Full description at Econpapers || Download paper

  44. Non-Linear Time Series Models in Empirical Finance. (2000). Franses, Philip Hans ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521779654.

    Full description at Econpapers || Download paper

  45. Vector autoregressions. (1999). Lütkepohl, Helmut ; Lutkepohl, Helmut.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:19994.

    Full description at Econpapers || Download paper

  46. Vector autoregressive analysis. (1999). Lütkepohl, Helmut ; Lutkepohl, Helmut.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199931.

    Full description at Econpapers || Download paper

  47. A Survey on Nonparametric Time Series Analysis. (1999). Heiler, Siegfried.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:9905.

    Full description at Econpapers || Download paper

  48. Stability of nonlinear AR(1) time series with delay. (1999). Cline, Daren B. H., ; Pu, Huay-min H..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:82:y:1999:i:2:p:307-333.

    Full description at Econpapers || Download paper

  49. Functional coefficient autoregressive models: Estimation and tests of hypotheses. (1998). Chen, Rong.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199810.

    Full description at Econpapers || Download paper

  50. Discrete time option pricing with flexible volatility estimation. (1997). Härdle, Wolfgang ; Hafner, Christian ; Hardle, Wolfgang.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199756.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-04 13:29:59 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.