Time Series Mixtures of GeneralizedtExperts: ML Estimation and an Application to Stock Return Density Forecasting

DOI10.1080/07474938.2010.481987zbMath1202.62111OpenAlexW2051044470MaRDI QIDQ3063861

Alexandre X. Carvalho, Georgios Skoulakis

Publication date: 15 December 2010

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2010.481987

zbMATH Keywords

maximum likelihood estimationnonlinear time seriesheavy tail distributionsgeneralized \(t\) distributionmixtures-of-expertsconditional density forecast

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) General considerations in statistical decision theory (62C05)

Uses Software

• GSM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Gamma shape mixtures for heavy-tailed distributions
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Threshold models in non-linear time series analysis
• Density estimation through convex combinations of densities: Approximation and estimation bounds
• Markov chains and stochastic stability
• Generalized Cauchy distributions
• Modeling nonlinearities with mixtures-of-experts of time series models
• Modelling nonlinear count time series with local mixtures of Poisson autoregressions
• Theory of partial likelihood
• Likelihood of a model and information criteria
• Estimating the dimension of a model
• Conditional inference about generalized linear mixed models
• Ergodicity and existence of moments for local mixtures of linear autoregressions
• On a logistic mixture autoregressive model
• Modeling nonlinear time series with local mixtures of generalized linear models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Uniform Convergence in Probability and Stochastic Equicontinuity
• ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
• Bayesian mixture of splines for spatially adaptive nonparametric regression
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On the asymptotic normality of hierarchical mixtures-of-experts for generalized linear models
• On a Mixture Autoregressive Model
• Analysis of Financial Time Series
• Bayesian treed models