Concurrent processing of heteroskedastic vector-valued mixture density models

DOI10.1080/02664760903121236MaRDI QIDQ5123643

Ralf Oestermark

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903121236

zbMATH Keywords

parallel programming; high-performance computing; mixture densities; geno-mathematical monitoring; vector-valued ARCH processes

Mathematics Subject Classification ID

62-XX: Statistics

Related Items

A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function, Massively parallel processing of recursive multi-period portfolio models

Uses Software

• SNOPT
• NLPQLP

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Multivariate mixed normal conditional heteroskedasticity
• Solving irregular econometric and mathematical optimization problems with a genetic hybrid algorithm
• Parallel implementation of a VARMAX algorithm
• Automatic detection of parsimony for heteroskedastic time series processes
• A generalized dual phase-2 simplex algorithm.
• Generalized autoregressive conditional heteroscedasticity
• The jackknife and the bootstrap for general stationary observations
• Finite mixture and Markov switching models.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic portfolio management under competing representations
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• A flexible platform for mixed‐integer non‐linear programming problems
• Scalability of the genetic hybrid algorithm on a parallel supercomputer
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• On a Mixture Autoregressive Model
• A generalized bivariate mixture model for stock price volatility and trading volume