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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| Main Authors: | , , |
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| Format: | Article |
| Published: |
American Journal of Mathematics and Statistics
2021
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.12493/488 |
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