Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions

DOI10.1080/00949655.2016.1245305OpenAlexW2541920591MaRDI QIDQ5106838

Mohsen Maleki, Reinaldo B. Arellano-Valle

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1245305

zbMATH Keywords

autoregressive modelsnon-Gaussian time seriesECME algorithmfinite mixture distributed innovationsmaximum a-posteriori probabilitiesSMSN family

Mathematics Subject Classification ID

Statistics (62-XX)

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Uses Software

• mixsmsn
• sn

Cites Work

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