On distributional autoregression and iterated transportation

We consider the problem of defining and fitting models of autoregressive time series of probability distributions on a compact interval of ℝ. An order‐1 autoregressive model in this context is to be understood as a Markov chain, where one specifies a certain structure (regression) for the one‐step c...

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Veröffentlicht in:	Journal of time series analysis 2024-09, Vol.45 (5), p.739-770
Hauptverfasser:	Ghodrati, Laya, Panaretos, Victor M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Convergence Distributional regression distributional time series Markov chains optimal transport Probability Regression models Statistical analysis Time series Transportation Transportation models Transportation systems Wasserstein metric
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