Solikhah, Arifatus; Kuswanto, Heri; Iriawan, Nur; … - In: Econometrics 9 (2021) 3, pp. 1-35
We generalize the Gaussian Mixture Autoregressive (GMAR) model to the Fisher's z Mixture Autoregressive (ZMAR) model for modeling nonlinear time series. The model consists of a mixture of K-component Fisher's z autoregressive models with the mixing proportions changing over time. This model can...
