A mixture autoregressive model based on Student’s t–distribution
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Cites work
- scientific article; zbMATH DE number 5672418 (Why is no real title available?)
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- A Student t-mixture autoregressive model with applications to heavy-tailed financial data
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Extended constructions of stationary autoregressive processes
- Finite mixture and Markov switching models.
- Finite mixture models
- Gaussian mixture vector autoregression
- Hysteretic autoregressive time series models
- Identifiability of Finite Mixtures of Elliptical Distributions
- Markov Chains and Stochastic Stability
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
- Multivariate T-Distributions and Their Applications
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- On a Mixture Autoregressive Model
- On a logistic mixture autoregressive model
- On the Conditional Distribution of the Multivariate t Distribution
- Relations between Weak and Uniform Convergence of Measures with Applications
- Testing for observation-dependent regime switching in mixture autoregressive models
- Threshold models in time series analysis -- 30 years on
Cited in
(6)- StMAR
- On Construction and Estimation of Stationary Mixture Transition Distribution Models
- 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
- A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions
- A mixture autoregressive model based on Student's $t$-distribution
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