A Student t-mixture autoregressive model with applications to heavy-tailed financial data

DOI10.1093/biomet/asp031zbMath1170.62065OpenAlexW2167130157MaRDI QIDQ3399084

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Publication date: 29 September 2009

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asp031

zbMATH Keywords

EM algorithmsimulationsinterest ratemixture distributionnonlinear time series modelStudent \(t\)-distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Economic time series analysis (91B84)

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