On mixture autoregressive conditional heteroskedasticity (Q1643793): Difference between revisions

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+Recursive online EM estimation of mixture autoregressions
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+Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
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+Computing and estimating information matrices of weak ARMA models
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+Approximate Inference in Generalized Linear Mixed Models
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+DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS
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+ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS
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+Statistical Analysis Of Mixture Vector Autoregressive Models
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+HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS
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+Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
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+A stochastic EM algorithm for mixtures with censored data
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Conditional Heteroskedasticity Driven by Hidden Markov Chains
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+Stationarity of multivariate Markov-switching ARMA models
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+The \(L^2\)-structures of standard and switching-regime GARCH models
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+Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
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+Analysis of time series subject to changes in regime
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+Q4840212
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+Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices
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+Q4001588
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+The information matrices of the parameters of multiple mixed time series
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+Q5434019
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+Best Linear Recursive Estimation for Mixed Linear Models
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+A Student t-mixture autoregressive model with applications to heavy-tailed financial data
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+On a Mixture Autoregressive Model
@@ Property / cites work: On a Mixture Autoregressive Model / rank @@
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+On a Mixture Autoregressive Conditional Heteroscedastic Model
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+A mixture integer-valued ARCH model
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