Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model
This paper describes Fréchet distribution as a random noise for capturing multimodalities, regime-switching and change-points attributed to uniformly time-varying series via causality of fluctuations, extreme values and heavy-tailed time series. Fréchet Mixture Autoregressive (FMAR) model of k-reg...
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| Format: | Article |
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American Journal of Mathematics and Statistics
2021
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| Online Access: | http://hdl.handle.net/20.500.12493/488 |
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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 Fréchet distribution as a random noise for capturing multimodalities, regime-switching and
change-points attributed to uniformly time-varying series via causality of fluctuations, extreme values and heavy-tailed time
series. Fréchet Mixture Autoregressive (FMAR) model of k-regime-switching, denoted by FMAR(k; p1, p2 ,, pk ) was
developed and Expectation-Maximization (EM) algorithm was used as a method of parameter estimation for the embedded
coefficients of AR of k-mixing weights and lag pk. The limiting distribution of the FMAR(k; p1, p2 ,, pk ) model via
Gnedenko-Fisher Tippet limiting property was derived to asymptotically approach an exponential function. |
| format | Article |
| id | oai:idr.kab.ac.ug:20.500.12493-488 |
| institution | KAB-DR |
| publishDate | 2021 |
| publisher | American Journal of Mathematics and Statistics |
| record_format | dspace |
| spelling | oai:idr.kab.ac.ug:20.500.12493-4882024-01-17T04:43:43Z Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model Rasaki, Olawale Olanrewaju Anthony, Gichuhi Waititu Nafiu, Lukman Abiodun Fréchet distribution, Expectation-Maximization, Gnedenko-Fisher Tippet, k-regime-switching, Mixture Autoregressive, Multimodalities This paper describes Fréchet distribution as a random noise for capturing multimodalities, regime-switching and change-points attributed to uniformly time-varying series via causality of fluctuations, extreme values and heavy-tailed time series. Fréchet Mixture Autoregressive (FMAR) model of k-regime-switching, denoted by FMAR(k; p1, p2 ,, pk ) was developed and Expectation-Maximization (EM) algorithm was used as a method of parameter estimation for the embedded coefficients of AR of k-mixing weights and lag pk. The limiting distribution of the FMAR(k; p1, p2 ,, pk ) model via Gnedenko-Fisher Tippet limiting property was derived to asymptotically approach an exponential function. Kabale University 2021-05-13T10:45:18Z 2021-05-13T10:45:18Z 2021 Article http://hdl.handle.net/20.500.12493/488 application/pdf American Journal of Mathematics and Statistics |
| spellingShingle | Fréchet distribution, Expectation-Maximization, Gnedenko-Fisher Tippet, k-regime-switching, Mixture Autoregressive, Multimodalities Rasaki, Olawale Olanrewaju Anthony, Gichuhi Waititu Nafiu, Lukman Abiodun Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model |
| title | Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model |
| title_full | Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model |
| title_fullStr | Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model |
| title_full_unstemmed | Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model |
| title_short | Fréchet Random Noise for k-Regime-Switching Mixture Autoregressive Model |
| title_sort | frechet random noise for k regime switching mixture autoregressive model |
| topic | Fréchet distribution, Expectation-Maximization, Gnedenko-Fisher Tippet, k-regime-switching, Mixture Autoregressive, Multimodalities |
| url | http://hdl.handle.net/20.500.12493/488 |
| work_keys_str_mv | AT rasakiolawaleolanrewaju frechetrandomnoiseforkregimeswitchingmixtureautoregressivemodel AT anthonygichuhiwaititu frechetrandomnoiseforkregimeswitchingmixtureautoregressivemodel AT nafiulukmanabiodun frechetrandomnoiseforkregimeswitchingmixtureautoregressivemodel |