A mixture autoregressive model based on Student’s t–distribution
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Publication:5875239
DOI10.1080/03610926.2021.1916531OpenAlexW3161991525MaRDI QIDQ5875239FDOQ5875239
Authors: Mika Meitz, Daniel Preve, Pentti Saikkonen 
Publication date: 3 February 2023
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.04010
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Cites Work
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- On a Mixture Autoregressive Conditional Heteroscedastic Model
- On a Mixture Autoregressive Model
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Relations between Weak and Uniform Convergence of Measures with Applications
- Gaussian mixture vector autoregression
- Multivariate T-Distributions and Their Applications
- Identifiability of Finite Mixtures of Elliptical Distributions
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Threshold models in time series analysis -- 30 years on
- A Student t-mixture autoregressive model with applications to heavy-tailed financial data
- Extended constructions of stationary autoregressive processes
- On the Conditional Distribution of the Multivariate t Distribution
- Title not available (Why is that?)
- Hysteretic autoregressive time series models
- Testing for observation-dependent regime switching in mixture autoregressive models
Cited In (5)
- StMAR
- Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
- A generalized Burr mixture autoregressive models for modeling non linear time series
- On Construction and Estimation of Stationary Mixture Transition Distribution Models
- A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions
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