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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| Format: | Article |
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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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| author | Rasaki, Olawale Olanrewaju Anthony, Gichuhi Waititu Nafiu, Lukman Abiodun |
| author_facet | Rasaki, Olawale Olanrewaju Anthony, Gichuhi Waititu Nafiu, Lukman Abiodun |
| author_sort | Rasaki, Olawale Olanrewaju |
| collection | KAB-DR |
| description | 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. |
| format | Article |
| id | oai:idr.kab.ac.ug:20.500.12493-487 |
| institution | KAB-DR |
| publishDate | 2021 |
| publisher | International Journal of Probability and Statistics |
| record_format | dspace |
| spelling | oai:idr.kab.ac.ug:20.500.12493-4872024-01-17T04:44:27Z On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise Rasaki, Olawale Olanrewaju Anthony, Gichuhi Waititu Nafiu, Lukman Abiodun Expectation-Maximization, k-regimes, Mixture Autoregressive model, Regime-switching, Weibull Distribution 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. Kabale University 2021-05-13T10:38:11Z 2021-05-13T10:38:11Z 2021 Article http://hdl.handle.net/20.500.12493/487 application/pdf International Journal of Probability and Statistics |
| spellingShingle | Expectation-Maximization, k-regimes, Mixture Autoregressive model, Regime-switching, Weibull Distribution Rasaki, Olawale Olanrewaju Anthony, Gichuhi Waititu Nafiu, Lukman Abiodun On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise |
| title | On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise |
| title_full | On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise |
| title_fullStr | On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise |
| title_full_unstemmed | On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise |
| title_short | On the Estimation of k-Regimes Switching of Mixture Autoregressive Model via Weibull Distributional Random Noise |
| title_sort | on the estimation of k regimes switching of mixture autoregressive model via weibull distributional random noise |
| topic | Expectation-Maximization, k-regimes, Mixture Autoregressive model, Regime-switching, Weibull Distribution |
| url | http://hdl.handle.net/20.500.12493/487 |
| work_keys_str_mv | AT rasakiolawaleolanrewaju ontheestimationofkregimesswitchingofmixtureautoregressivemodelviaweibulldistributionalrandomnoise AT anthonygichuhiwaititu ontheestimationofkregimesswitchingofmixtureautoregressivemodelviaweibulldistributionalrandomnoise AT nafiulukmanabiodun ontheestimationofkregimesswitchingofmixtureautoregressivemodelviaweibulldistributionalrandomnoise |