EM-based algorithms for autoregressive models with t-distributed innovations
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EM-based algorithms for autoregressive models with \(t\)-distributed innovations
EM-based algorithms for autoregressive models with \(t\)-distributed innovations
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Cites work
- A numerically efficient implementation of the expectation maximization algorithm for state space models
- A penalized EM algorithm incorporating missing data mechanism for Gaussian parameter estimation
- An empirical power comparison of univariate goodness-of-fit tests for normality
- Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
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- Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- Maximum likelihood estimation via the ECM algorithm: A general framework
- Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
- Numerical recipes. The art of scientific computing.
- On a Mixture Autoregressive Model
- Robust Autoregression: Student-t Innovations Using Variational Bayes
- Robust Statistics
- The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
- Time series analysis. Forecasting and control
- Time series models in non-normal situation: symmetric innovations
Cited in
(9)- Further results on a robust multivariate time series analysis in nonlinear models with autoregressive and t-distributed errors
- Further results on a modified EM algorithm for parameter estimation in linear models with time-dependent autoregressive and t-distributed errors
- Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
- EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
- Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms
- Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm
- Censored autoregressive regression models with student-t innovations
- The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations
- Adaptive estimation of autoregression models under long-tailed symmetric distribution
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