Student's t VAR Modeling With Missing Data Via Stochastic EM and Gibbs Sampling

DOI10.1109/TSP.2020.3033378MaRDI QIDQ5103188zbMATH OpenOpenAlexFDO

Authors

Publication date 23 September 2022

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2020.3033378

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(3)

• Estimation in shape mixtures of skew-normal linear regression models via ECM coupled with Gibbs sampling
• Markov chain Monte Carlo based adaptive Rauch-Tung-Striebel smoother
• Censored autoregressive regression models with student-\(t\) innovations

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