Autoregressive models with mixture of scale mixtures of Gaussian innovations

DOI10.1007/s40995-017-0237-6zbMath1392.62270OpenAlexW2605411705MaRDI QIDQ724914

A. R. Nematollahi, Mohsen Maleki

Publication date: 26 July 2018

Published in: Iranian Journal of Science and Technology. Transaction A: Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40995-017-0237-6

zbMATH Keywords

mixture distributionsAR modelECME algorithmscale-mixtures of normal family

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• UCI-ml

Cites Work

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