On a constrained mixture vector autoregressive model

DOI10.1016/j.matcom.2013.05.001zbMath1499.62332OpenAlexW2021845507MaRDI QIDQ2227405

Yanyan Li

Publication date: 15 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2013.05.001

zbMATH Keywords

EM algorithmlikelihood ratio testinterest ratenon-linear time-series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• FinTS

Cites Work

• Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
• Estimating the dimension of a model
• On a logistic mixture autoregressive model
• A Student t-mixture autoregressive model with applications to heavy-tailed financial data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On a mixture vector autoregressive model
• Analysis of Financial Time Series
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