On a mixture vector autoregressive model

DOI10.1002/cjs.5550350112zbMath1124.62059OpenAlexW2045832042MaRDI QIDQ5421217

C. W. Yau, Wai Keung Li, Pak Wing Fong, Chun Shan Wong

Publication date: 22 October 2007

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

Full work available at URL: https://doi.org/10.1002/cjs.5550350112

zbMATH Keywords

EM algorithmstationaritymultivariate time seriesdiagnostic checking

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• FinTS
• DerivaGem

Cites Work

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• Mixture transition distribution (MTD) modeling of heteroscedastic time series
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• Optimization of mixture models: Comparison of different strategies
• On a logistic mixture autoregressive model
• Modeling nonlinear time series with local mixtures of generalized linear models
• Statistical analysis of finite mixture distributions
• THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On a mixture vector autoregressive model
• Existence of Finite Invariant Measures for Markov Processes

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