A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions

DOI10.1515/snde-2020-0060arXiv2003.05221OpenAlexW3186277639MaRDI QIDQ6039102

Savi Virolainen

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.05221

zbMATH Keywords

regime switchingmixture modelinterest rate spreadnonlinear autoregression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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