On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations

DOI10.1080/03610926.2021.1994608MaRDI QIDQ6114232zbMATH OpenOpenAlexFDO

Authors A. S. Mirniam, A. R. Nematollahi

Publication date 11 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1994608

zbMATH Keywords

ECM algorithmECME algorithmsVAR modelsautoregressive modelsBHHH algorithmmultivariate generalized scaled \(t\) distribution

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Cites work

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• Volatility modeling with a generalized \(t\) distribution

Cited in

(1)

• Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms

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