Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

DOI10.1016/J.JECONOM.2023.105575OpenAlexW4388442946MaRDI QIDQ6193025

Siem Jan Koopman, Janneke van Brummelen, Paolo Gorgi, Francisco Blasques

Publication date: 13 February 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.105575

zbMATH Keywords

consistencyasymptotic normalitytime-varying parametersinvertibilityrobust filterasymmetric and heavy-tailed distributions

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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