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math.ST2012
The CUSUM test for detecting structural changes in strong mixing processes
Fatemeh Azizzadeh, Saeid Rezakhah
Strong mixing property holds for a broad class of linear and nonlinear time series models such as ARMA and GARCH models. In this article we study correlation structure of strong mi…
math.ST2011★ 1 cited
Hidden Markov Mixture Autoregressive Models: Parameter Estimation
S. H. Alizadeh, S. Rezakhah
This report introduces a parsimonious structure for mixture of autoregressive models, where the weighting coefficients are determined through latent random variables as functions o…