Learning CHARME models with neural networks

1 code implementation • 8 Feb 2020 • José G. Gómez García, Jalal Fadili, Christophe Chesneau

In this paper, we consider a model called CHARME (Conditional Heteroscedastic Autoregressive Mixture of Experts), a class of generalized mixture of nonlinear nonparametric AR-ARCH time series.

Learning Theory Time Series +1