Mixtures of autoregressions with an improper component for panel data

DOI10.1007/S00357-012-9111-6zbMATH Open1360.62341OpenAlexW2021240844MaRDI QIDQ263360FDOQ263360

Authors: Pierpaolo D'Urso, Nicholas Tibor Longford 

Publication date: 4 April 2016

Published in: Journal of Classification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00357-012-9111-6

Recommendations

• Mixture models with an improper component
• Mixtures of nonparametric autoregressions
• Bayesian mixture of autoregressive models
• On a mixture vector autoregressive model
• On a Mixture Autoregressive Model

zbMATH Keywords

outliersmixtureEM algorithmpanel dataautoregressionimproper component

Mathematics Subject Classification ID

Point estimation (62F10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• Model-Based Clustering, Discriminant Analysis, and Density Estimation
• Finite mixture models
• Breakdown points for maximum likelihood estimators of location-scale mixtures
• The Calculation of Posterior Distributions by Data Augmentation
• Model-Based Gaussian and Non-Gaussian Clustering
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exploring the number of groups in robust model-based clustering
• Title not available (Why is that?)
• A simulation study to compare robust clustering methods based on mixtures
• Stability of household income in European countries in the 1990s
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (3)

• Mixture models with an improper component
• An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
• Alternative approaches for econometric modeling of panel data using mixture distributions

Uses Software

• R

This page was built for publication: Mixtures of autoregressions with an improper component for panel data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q263360)