A Student t-mixture autoregressive model with applications to heavy-tailed financial data (Q3399084)
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scientific article; zbMATH DE number 5608896
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| English | A Student t-mixture autoregressive model with applications to heavy-tailed financial data |
scientific article; zbMATH DE number 5608896 |
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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0.8730701208114624
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0.7947008609771729
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0.7925047278404236
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0.790461540222168
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