A Student t-mixture autoregressive model with applications to heavy-tailed financial data
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Publication:3399084
DOI10.1093/biomet/asp031zbMath1170.62065OpenAlexW2167130157MaRDI QIDQ3399084
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Publication date: 29 September 2009
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/asp031
EM algorithmsimulationsinterest ratemixture distributionnonlinear time series modelStudent \(t\)-distribution
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