Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
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Cited in
(7)- 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
- On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
- Taking advantage of sampling designs in spatial small-area survey studies
- Fast, effective, and coherent time series modelling using the sparsity-ranked Lasso
- Copula-based pairwise estimator for quantile regression with hierarchical missing data
- Estimation for vector autoregressive model under multivariate skew-t-normal innovations
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