Model-based clustering of multiple time series
Article Abstract:
The use of finite-mixture models to pool multiple time series into groups is proposed. Bayesian Markov chain Monte Carlo simulation methods are used to estimate time series groups. Efficiency gains in estimation and forecasting are noted.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2008
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Binomial autoregressive moving average models with an application to US recessions
Article Abstract:
US economic recession data are studied through the binary autoregressive moving average (BARMA) and Markov models. The BARMA models US recession data better than traditional Markov models.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2008
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Co-breaking: recent advances and a synopsis of the literature
Article Abstract:
A synopsis of the literature on co-breaking on policy analysis using UK macroeconomic dad is presented.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
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