Censored autoregressive regression models with student-\(t\) innovations

DOI10.1002/CJS.11804MaRDI QIDQ6632386

Christian E. Galarza, Katherine A. L. Valeriano, Fernanda L. Schumacher, Larissa A. Matos

Publication date: 4 November 2024

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

zbMATH Keywords

heavy-tailed distributionsautoregressive modelsmissing dataSAEM algorithmcensored data

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Censored regression models with autoregressive errors: A likelihood‐based perspective
• Misspecification tests based on quantile residuals
• Student's $t$ VAR Modeling With Missing Data Via Stochastic EM and Gibbs Sampling
• Analysis of Financial Time Series

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