Autoregressive processes with generalized hyperbolic innovations
From MaRDI portal
(Redirected from Publication:5083924)
Recommendations
- An autoregressive model based on the generalized hyperbolic distribution
- scientific article; zbMATH DE number 7353822
- Autoregressive models with mixture of scale mixtures of Gaussian innovations
- Analysis of autoregressive models with symmetric stable innovations
- Generalized normal-Laplace AR process
Cites work
- A flexible class of parametric distributions for Bayesian linear mixed models
- A mixture of generalized hyperbolic distributions
- A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering
- A new look at the statistical model identification
- An Extension of the Epsilon-Skew-Normal Distribution
- ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
- Autoregressive models with mixture of scale mixtures of Gaussian innovations
- Bayesian approach to epsilon-skew-normal family
- ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
- Estimating the dimension of a model
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
- scientific article; zbMATH DE number 3442988 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- Introduction to Time Series and Forecasting
- Location and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clustering
- Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Numerical Bayesian Methods Applied to Signal Processing
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Robust Autoregression: Student-t Innovations Using Variational Bayes
- Robust finite mixture modeling of multivariate unrestricted skew-normal generalized hyperbolic distributions
- Sharp quadratic majorization in one dimension
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Statistical inference for a general class of asymmetric distributions
- Statistical properties of the generalized inverse Gaussian distribution
- The epsilon-skew-normal distribution for analyzing near-normal data
- THE POPULATION FREQUENCIES OF SPECIES AND THE ESTIMATION OF POPULATION PARAMETERS
- The skew-reflected-Gompertz distribution for analyzing symmetric and asymmetric data
- Time series models based on the unrestricted skew-normal process
- Time series models in non-normal situation: symmetric innovations
- Turán type inequalities for some probability density functions
- Two-piece location-scale distributions based on scale mixtures of normal family
Cited in
(13)- Generalized autoregressive score models based on sinh-arcsinh distributions for time series analysis
- Robust mixture modeling based on two-piece scale mixtures of normal family
- Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals
- scientific article; zbMATH DE number 5736245 (Why is no real title available?)
- Fitting Generalized Hyperbolic processes - New insights for generating initial values
- Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
- An autoregressive model based on the generalized hyperbolic distribution
- scientific article; zbMATH DE number 2190882 (Why is no real title available?)
- Robust clustering of COVID-19 cases across U.S. counties using mixtures of asymmetric time series models with time varying and freely indexed covariates
- Controlling the flexibility of non-Gaussian processes through shrinkage priors
- Fitting Latent Non-Gaussian Models Using Variational Bayes and Laplace Approximations
- Skew Gaussian Markov random fields under decomposable graphs
- The generalized hyperbolic process
This page was built for publication: Autoregressive processes with generalized hyperbolic innovations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5083924)
