On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations

DOI10.1080/03610926.2021.1994608OpenAlexW3211818395MaRDI QIDQ6114232

A. S. Mirniam, A. R. Nematollahi

Publication date: 11 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1994608

zbMATH Keywords

autoregressive modelsECM algorithmECME algorithmsVAR modelsBHHH algorithmmultivariate generalized scaled \(t\) distribution

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Cites Work

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• Introduction to Time Series and Forecasting
• Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
• A Note on the Characteristic Function of Multivariate t Distribution
• Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm

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