A mixture integer-valued ARCH model

DOI10.1016/j.jspi.2010.01.037zbMath1184.62159OpenAlexW1985284584MaRDI QIDQ963895

Fukang Zhu, Qi Li, De-Hui Wang

Publication date: 14 April 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.01.037

zbMATH Keywords

EM algorithmmodel selectionstationarityautocorrelationmixture modelinteger-valued time series

Mathematics Subject Classification ID

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

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