Mixtures of autoregressions with an improper component for panel data
N.T. Longford and P. D'Urso
Abstract
In the analysis of multiple time-series or panel data, we come across problems
similar to the analysis of other multivariate data -- a particular simple model
fits well to a subset of the cases, but not to all of them. We apply mixture
models to such a setting, assuming that the cases in the study represent a
small number of distinct subpopulations (or clusters) to which different models
apply. In particular, we consider mixtures of autoregressive models of possibly
different orders. Further, we consider a subset of the cases to which no model
applies, and associate them with an improper (black-hole) distribution. An
example with monthly income from outlets of a retail company is presented.
Journal of Classification 29; to appear.
DOI:10.1007/s00357-012-9111-6
July 2012