Time Series Prediction using Mixtures of Experts

We wish to exploit the linear autoregressive technique in a manner that will enable a substantial increase in modeling power, in a framework which is nonlinear and yet mathematically tractable. The novel model, whose main building blocks are linear AR models, deviates from linearity in the integration process, that is, the way these blocks are combined. This model was first formulated in the context of a regression problem, and an extension to a hierarchical structure was also given [2]. It was termed the mixture of experts model (MEM). Variants of this model have recently been used in prediction problems both in economics and engineering.