Mixtures of autoregressions with an improper component for panel data

DOI10.1007/S00357-012-9111-6zbMath1360.62341OpenAlexW2021240844MaRDI QIDQ263360

Pierpaolo D'Urso, Nicholas Tibor Longford

Publication date: 4 April 2016

Published in: Journal of Classification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00357-012-9111-6

zbMATH Keywords

mixtureoutliersEM algorithmpanel dataautoregressionimproper component

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Point estimation (62F10)

Uses Software

• R

Cites Work

• Exploring the number of groups in robust model-based clustering
• Stability of household income in European countries in the 1990s
• Breakdown points for maximum likelihood estimators of location-scale mixtures
• A simulation study to compare robust clustering methods based on mixtures
• The Calculation of Posterior Distributions by Data Augmentation
• Model-Based Gaussian and Non-Gaussian Clustering
• Model-Based Clustering, Discriminant Analysis, and Density Estimation
• Finite mixture models
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