On a constrained mixture vector autoregressive model

DOI10.1016/J.MATCOM.2013.05.001MaRDI QIDQ2227405zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• scientific article; zbMATH DE number 3768770 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A Student t-mixture autoregressive model with applications to heavy-tailed financial data
• Analysis of Financial Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimating the dimension of a model
• 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
• Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
• New introduction to multiple time series analysis.
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On a logistic mixture autoregressive model
• On a mixture vector autoregressive model
• Statistical analysis of finite mixture distributions

Cited in

(4)

• The variance ratio and trend stationary model as extensions of a constrained autoregressive model
• A Mixed Copula-Based Vector Autoregressive Model for Econometric Analysis
• Statistical analysis of mixture vector autoregressive models
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

Describes a project that uses

Uses Software

• FinTS

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