On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise

This paper describes regime-switching, full range of shape changing distributions (multimodalities), and cycles traits that were characterized by time-varying series via Weibull distributional noise for time series with fluctuations and long-memory. We developed and established a Weibull Mixture A...

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Bibliographic Details
Main Authors: Rasaki, Olawale Olanrewaju, Anthony, Gichuhi Waititu, Nafiu, Lukman Abiodun
Format: Article
Published: International Journal of Probability and Statistics 2021
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Online Access:http://hdl.handle.net/20.500.12493/487
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Summary:This paper describes regime-switching, full range of shape changing distributions (multimodalities), and cycles traits that were characterized by time-varying series via Weibull distributional noise for time series with fluctuations and long-memory. We developed and established a Weibull Mixture Autoregressive model of k-regimes via WMAR(k; p1, p2, , pk ) with Expectation-Maximization (EM) algorithm adopted as parameter estimation technique. The ergodic process for the WMAR(k; p1, p2, , pk ) model was ascertained via the maximized derivation of the absolute value of the subtraction of its likelihood from its expected likelihood.