A Student t-mixture autoregressive model with applications to heavy-tailed financial data (Q3399084): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Student t-mixture autoregressive model with applications to heavy-tailed financial data |
scientific article |
Statements
A Student t-mixture autoregressive model with applications to heavy-tailed financial data (English)
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29 September 2009
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EM algorithm
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interest rate
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mixture distribution
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nonlinear time series model
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Student \(t\)-distribution
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simulations
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