323 citations · 394 across the 21 of their papers we have counts for
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stat.ME2020★ 2 cited
On Construction and Estimation of Stationary Mixture Transition Distribution Models
Xiaotian Zheng, Athanasios Kottas, Bruno Sansó
Mixture transition distribution time series models build high-order dependence through a weighted combination of first-order transition densities for each one of a specified number…
stat.ME2020★ 1 cited
Autoregressive Density Modeling with the Gaussian Process Mixture Transition Distribution
Matthew Heiner, Athanasios Kottas
We develop a mixture model for transition density approximation, together with soft model selection, in the presence of noisy and heterogeneous nonlinear dynamics. Our model builds…
stat.ME2020★ 1 cited
Bayesian Nonparametric Density Autoregression with Lag Selection
Matthew Heiner, Athanasios Kottas
We develop a Bayesian nonparametric autoregressive model applied to flexibly estimate general transition densities exhibiting nonlinear lag dependence. Our approach is related to B…