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• W1993848799 abstract "An infinite mixture of autoregressive models is developed. The unknown parameters in the mixture autoregressive model follow a mixture distribution, which is governed by a Dirichlet process prior. One main feature of our approach is the generalization of a finite mixture model by having the number of components unspecified. A Bayesian sampling scheme based on a weighted Chinese restaurant process is proposed to generate partitions of observations. Using the partitions, Bayesian prediction, while accounting for possible model uncertainty, determining the most probable number of mixture components, clustering of time series and outlier detection in time series, can be done. Numerical results from simulated and real data are presented to illustrate the methodology." @default.
• W1993848799 created "2016-06-24" @default.
• W1993848799 creator A5061166145 @default.
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• W1993848799 date "2008-09-01" @default.
• W1993848799 modified "2023-10-02" @default.
• W1993848799 title "Bayesian mixture of autoregressive models" @default.
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• W1993848799 doi "https://doi.org/10.1016/j.csda.2008.06.001" @default.
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