On mixture periodic vector autoregressive models

DOI10.1080/03610918.2012.750353zbMATH Open1462.62165OpenAlexW2072747592MaRDI QIDQ2876148FDOQ2876148

Authors: Mohamed Bentarzi, L. Djeddou 

Publication date: 18 August 2014

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.750353

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zbMATH Keywords

EM algorithmmixture periodic vector AR modelsmultivariate periodically correlated processperiodic vector autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On a mixture vector autoregressive model
• Choosing starting values for the EM algorithm for getting the highest likelihood in multivariate Gaussian mixture models
• Edgeworth correction by bootstrap in autoregressions
• Bootstrapping regression models
• Jackknife, bootstrap and other resampling methods in regression analysis
• On bootstrapping two-stage least-squares estimates in stationary linear models
• On blocking rules for the bootstrap with dependent data
• On Edgeworth expansion and moving block bootstrap for Studentized \(M\)-estimators in multiple linear regression models
• On periodic and multiple autoregressions
• Periodic Time Series Models
• Bootstrapping Markov chains: Countable case
• On the moving block bootstrap under long range dependence
• Mixture periodic autoregressive conditional heteroskedastic models
• Mixture periodic autoregressive time series models
• Second order optimality of stationary bootstrap
• Model-building problem of periodically correlated \(m\)-variate moving average processes
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Heavy traffic approximations for busy period in an M/G/\(\infty\) queue
• Moments of mixture periodic autoregressive models

Cited In (13)

• On a constrained mixture vector autoregressive model
• Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series
• A Mixed Copula-Based Vector Autoregressive Model for Econometric Analysis
• On hysteretic vector autoregressive model with applications
• Statistical analysis of mixture vector autoregressive models
• Gaussian mixture vector autoregression
• On a mixture vector autoregressive model
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• Moments of mixture periodic autoregressive models
• On mixture periodic Integer-Valued ARCH models
• Mixture periodic autoregression with periodic ARCH errors
• Mixture periodic autoregressive time series models

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