Non-linear autoregressive time series with multivariate Gaussian mixtures as marginal distributions

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Abstract

A new form of non-linear 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 type of multiprocess dynamic linear model, but with the advantage that the likelihood has a closed form.

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Glasbey, C. A. (2001). Non-linear autoregressive time series with multivariate Gaussian mixtures as marginal distributions. Journal of the Royal Statistical Society. Series C: Applied Statistics, 50(2), 143–154. https://doi.org/10.1111/1467-9876.00225

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