Statistical Analysis Of Mixture Vector Autoregressive Models

DOI10.1111/sjos.12237zbMath1373.62444MaRDI QIDQ2835319

Maddalena Cavicchioli

Publication date: 2 December 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12237

zbMATH Keywords

EM algorithm; model selection; maximum likelihood estimates; stationarity; autocovariance function; mixture vector autoregressive model; vector autoregressive moving-average representation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62F10: Point estimation

Related Items

Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables, Trend and cycle decomposition of Markov switching (co)integrated time series, Likelihood-based analysis in mixture global vars, On mixture autoregressive conditional heteroskedasticity

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