On a constrained mixture vector autoregressive model

DOI10.1016/J.MATCOM.2013.05.001zbMATH Open1499.62332OpenAlexW2021845507MaRDI QIDQ2227405FDOQ2227405

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

Recommendations

• Statistical analysis of mixture vector autoregressive models
• On a mixture vector autoregressive model
• Gaussian mixture vector autoregression
• On mixture periodic vector autoregressive models
• Bayesian analysis of mixture of autoregressive components with an application to financial market volatility

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)

Cites Work

• Analysis of Financial Time Series
• Estimating the dimension of a model
• Statistical analysis of finite mixture distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• On a logistic mixture autoregressive model
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• 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
• Title not available (Why is that?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• New introduction to multiple time series analysis.
• A Student t-mixture autoregressive model with applications to heavy-tailed financial data
• Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model

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

Uses Software

• FinTS

This page was built for publication: On a constrained mixture vector autoregressive model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2227405)