Statistical Analysis Of Mixture Vector Autoregressive Models

DOI10.1111/sjos.12237zbMath1373.62444OpenAlexW2489416465MaRDI QIDQ2835319

Maddalena Cavicchioli

Publication date: 2 December 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12237

zbMATH Keywords

EM algorithmmodel selectionmaximum likelihood estimatesstationarityautocovariance functionmixture vector autoregressive modelvector autoregressive moving-average representation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (4)

On mixture autoregressive conditional heteroskedasticity ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Likelihood-based analysis in mixture global vars

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