Mixtures of autoregressions with an improper component for panel data

DOI10.1007/S00357-012-9111-6MaRDI QIDQ263360zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• A simulation study to compare robust clustering methods based on mixtures
• Breakdown points for maximum likelihood estimators of location-scale mixtures
• Exploring the number of groups in robust model-based clustering
• Finite mixture models
• Model-Based Clustering, Discriminant Analysis, and Density Estimation
• Model-Based Gaussian and Non-Gaussian Clustering
• Stability of household income in European countries in the 1990s
• The Calculation of Posterior Distributions by Data Augmentation

Cited in

(3)

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

Describes a project that uses

Uses Software

• R

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