Nonlinear Autoregressive Time Series with Multivariate Gaussian Mixtures as Marginal Distributions
نویسنده
چکیده
A new form of nonlinear autoregressive time series is proposed to model solar radiation data, by specifying joint marginal distributions at low lags to be multivariate Gaussian mixtures. The model is also a ty p e o f m ultiprocess dynamic linear model, but with the advantage that the likelihood has closed form.
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تاریخ انتشار 2001