Bartolucci, Francesco; Farcomeni, Alessio - In: Journal of Time Series Analysis 31 (2010) 2, pp. 132-138
We discuss an interpretation of the mixture transition distribution (MTD) for discrete-valued time series which is based on a sequence of independent latent variables which are occasion-specific. We show that, by assuming that this latent process follows a first order Markov Chain, MTD can be...