On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
From MaRDI portal
Publication:6114232
DOI10.1080/03610926.2021.1994608OpenAlexW3211818395MaRDI QIDQ6114232FDOQ6114232
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
ECM algorithmECME algorithmsVAR modelsautoregressive modelsBHHH algorithmmultivariate generalized scaled \(t\) distribution
Cites Work
- Introduction to Time Series and Forecasting
- Regression and time series model selection in small samples
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- A multivariate generalization of the power exponential family of distributions
- Parameter expansion to accelerate EM: the PX-EM algorithm
- Title not available (Why is that?)
- On some characterizations of the \(t\)-distribution
- Family of multivariate generalized \(t\) distributions
- Volatility modeling with a generalized \(t\) distribution
- A Note on the Characteristic Function of Multivariate t Distribution
- On multivariate time series model selection involving many candidate VAR models
- Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
- Robust estimation using multivariate \(t\) innovations for vector autoregressive models via ECM algorithm
Cited In (1)
This page was built for publication: On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6114232)
