Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms

DOI10.1080/03610918.2017.1295155OpenAlexW2590892007MaRDI QIDQ5084753

A. S. Mirniam, A. R. Nematollahi

Publication date: 28 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1295155

zbMATH Keywords

EM algorithmECM algorithmvector autoregressive processECME algorithmmultivariate scaled \(t\)-distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Related Items (2)

On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations ⋮ Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm

Uses Software

• itsmr
• PRMLT

Cites Work

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• Robust Statistics

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