On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One

DOI10.1111/JTSA.12514zbMATH Open1446.62241OpenAlexW2996716965WikidataQ126590489 ScholiaQ126590489MaRDI QIDQ5111853FDOQ5111853

Marc G. Genton, Soumya Das

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/660926

zbMATH Keywords

nonlinear time seriesnonlinear autoregressive modelmultivariate skew-normal distributionstationary marginal distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stationary stochastic processes (60G10)

Cites Work

• The skew-normal and related families. With the collaboration of Antonella Capitanio.
• Title not available (Why is that?)
• A new class of multivariate skew distributions with applications to bayesian regression models
• Title not available (Why is that?)
• A unified view on skewed distributions arising from selections
• Scale and shape mixtures of multivariate skew-normal distributions
• On fundamental skew distributions
• On the Unification of Families of Skew-normal Distributions
• Measures of multivariate skewness and kurtosis with applications
• Multivariate stable distributions
• On nomenclature for, and the relative merits of, two formulations of skew distributions
• Threshold models in non-linear time series analysis
• Threshold models in time series analysis -- 30 years on
• Title not available (Why is that?)
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS
• Title not available (Why is that?)
• \(U\)-statistic for multivariate stable distributions
• Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Time series models based on the unrestricted skew-normal process
• Multivariate stable distributions and generating densities
• A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS
• The Stationary Marginal Distribution of a Threshold AR(1) Process
• A note on certain integral equations associated with nonlinear time series analysis
• A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach

Cited In (3)

• The marginal distribution function of threshold-type processes with central symmetric innovations
• A note on stationarity of the MTAR process on the boundary of the stationarity region
• Information quantity evaluation of multivariate SETAR processes of order one and applications

This page was built for publication: On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5111853)