Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach

DOI10.1080/02664763.2013.839129OpenAlexW1976774897MaRDI QIDQ5128578

Arash Nademi, Rahman Farnoosh

Publication date: 28 October 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2013.839129

zbMATH Keywords

EM algorithmgeometric ergodicitymixture modelshidden variablessemi-parametric autoregression

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

Nonlinear semiparametric autoregressive model with finite mixtures of scale mixtures of skew normal innovations ⋮ A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations ⋮ The single-index panel data models with heterogeneous link function: mixture approach ⋮ Nonlinear semiparametric AR(1) model with skew-symmetric innovations ⋮ Markov switching model of nonlinear autoregressive with skew-symmetric innovations ⋮ Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach

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