On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One (Q5111853): Difference between revisions

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scientific article; zbMATH DE number 7205129

Language	Label	Description	Also known as
English	On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One	scientific article; zbMATH DE number 7205129

Statements

instance of

scholarly article

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title

On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One (English)

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Journal of Time Series Analysis

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publication date

27 May 2020

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full work available at URL

http://hdl.handle.net/10754/660926

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zbMATH Keywords

nonlinear autoregressive model

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nonlinear time series

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stationary marginal distributions

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multivariate skew-normal distribution

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MaRDI profile type

MaRDI publication profile

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cites work

A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS

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Q3339129

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A unified view on skewed distributions arising from selections

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Scale and shape mixtures of multivariate skew-normal distributions

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On fundamental skew distributions

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On the Unification of Families of Skew-normal Distributions

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ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS

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On nomenclature for, and the relative merits of, two formulations of skew distributions

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The Skew-Normal and Related Families

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A note on certain integral equations associated with nonlinear time series analysis

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Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use

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Multivariate stable distributions and generating densities

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Q4681954

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The Stationary Marginal Distribution of a Threshold AR(1) Process

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Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions

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Autoregressive models with mixture of scale mixtures of Gaussian innovations

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Measures of multivariate skewness and kurtosis with applications

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Q4114625

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Multivariate stable distributions

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A new class of multivariate skew distributions with applications to bayesian regression models

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\(U\)-statistic for multivariate stable distributions

0 references

Threshold models in non-linear time series analysis

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Q3999154

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Threshold models in time series analysis -- 30 years on

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A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach

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Time series models based on the unrestricted skew-normal process

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Identifiers

zbMATH Open document ID

1446.62241

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DOI

10.1111/jtsa.12514

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5111853

@@ Property / cites work @@
+A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS
+Normal rank
@@ Property / cites work @@
+Q3339129
@@ Property / cites work: Q3339129 / rank @@
+Normal rank
@@ Property / cites work @@
+A unified view on skewed distributions arising from selections
+Normal rank
@@ Property / cites work @@
+Scale and shape mixtures of multivariate skew-normal distributions
+Normal rank
@@ Property / cites work @@
+On fundamental skew distributions
@@ Property / cites work: On fundamental skew distributions / rank @@
+Normal rank
@@ Property / cites work @@
+On the Unification of Families of Skew-normal Distributions
+Normal rank
@@ Property / cites work @@
+ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS
+Normal rank
@@ Property / cites work @@
+On nomenclature for, and the relative merits of, two formulations of skew distributions
+Normal rank
@@ Property / cites work @@
+The Skew-Normal and Related Families
@@ Property / cites work: The Skew-Normal and Related Families / rank @@
+Normal rank
@@ Property / cites work @@
+A note on certain integral equations associated with nonlinear time series analysis
+Normal rank
@@ Property / cites work @@
+Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
+Normal rank
@@ Property / cites work @@
+Multivariate stable distributions and generating densities
+Normal rank
@@ Property / cites work @@
+Q4681954
@@ Property / cites work: Q4681954 / rank @@
+Normal rank
@@ Property / cites work @@
+The Stationary Marginal Distribution of a Threshold AR(1) Process
+Normal rank
@@ Property / cites work @@
+Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions
+Normal rank
@@ Property / cites work @@
+Autoregressive models with mixture of scale mixtures of Gaussian innovations
+Normal rank
@@ Property / cites work @@
+Measures of multivariate skewness and kurtosis with applications
+Normal rank
@@ Property / cites work @@
+Q4114625
@@ Property / cites work: Q4114625 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate stable distributions
@@ Property / cites work: Multivariate stable distributions / rank @@
+Normal rank
@@ Property / cites work @@
+A new class of multivariate skew distributions with applications to bayesian regression models
+Normal rank
@@ Property / cites work @@
+\(U\)-statistic for multivariate stable distributions
+Normal rank
@@ Property / cites work @@
+Threshold models in non-linear time series analysis
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold models in time series analysis -- 30 years on
+Normal rank
@@ Property / cites work @@
+A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach
+Normal rank
@@ Property / cites work @@
+Time series models based on the unrestricted skew-normal process
+Normal rank
@@ Property / Wikidata QID @@
+Q126590489
@@ Property / Wikidata QID: Q126590489 / rank @@
+Normal rank