On mixture periodic vector autoregressive models

DOI10.1080/03610918.2012.750353MaRDI QIDQ2876148zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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
• Gaussian mixture vector autoregression
• Statistical analysis of mixture vector autoregressive models
• On a mixture vector autoregressive model
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• Moments of mixture periodic autoregressive models
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• On mixture periodic Integer-Valued ARCH models
• Mixture periodic autoregression with periodic ARCH errors
• Mixture periodic autoregressive time series models

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