On Mixture Double Autoregressive Time Series Models
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Cites work
- A simple general approach to inference about the tail of a distribution
- Asymptotic inference for a nonstationary double AR(1) model
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- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
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- Finite mixture models
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- Hysteretic autoregressive time series models
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Non-linear time series and Markov chains
- On a logistic mixture autoregressive model
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- On a Mixture Autoregressive Model
- On a Mixture GARCH Time-Series Model
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- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- On the convergence properties of the EM algorithm
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Strict stationarity of generalized autoregressive processes
Cited in
(6)- Analysis of nonuniform DAR(1) processes with mismatched explanatory variables
- A novel double-banded-threshold mixture autoregressive model
- Bayesian analysis for a threshold double autoregressive model with explanatory variables
- Modeling offence counts with a class of mixed integer-valued autoregressive models with dynamic mixing probabilities
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Joint dynamic mixture autoregressive model for linear and circular time series with application to wind speed and direction
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