Autoregressive models with mixture of scale mixtures of Gaussian innovations
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Cites work
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 3442988 (Why is no real title available?)
- scientific article; zbMATH DE number 788228 (Why is no real title available?)
- A new look at the statistical model identification
- ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
- ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
- Editorial: Advances in mixture models
- Editorial: The 2nd special issue on advances in mixture models
- Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
- Estimating the dimension of a model
- Estimation of autoregressive models with epsilon-skew-normal innovations
- Finite mixture models
- Integrated squared error estimation of normal mixtures
- Maximum likelihood estimation via the ECM algorithm: A general framework
- Modelling nonlinear count time series with local mixtures of Poisson autoregressions
- New autoregressive (AR) order selection criteria based on the prediction error estimation
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- On ar(1) processes with exponential white noise
- Robust Autoregression: Student-t Innovations Using Variational Bayes
- The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
- Time series: theory and methods.
- Variational Bayes for generalized autoregressive models
Cited in
(22)- Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models
- The flexible transmuted record type-scale mixture of normal family and its AR(1) extension
- Robust mixture modeling based on two-piece scale mixtures of normal family
- Classical and Bayesian estimation of the AR(1) model with skew-symmetric innovations
- A mixture autoregressive model based on Student’s t–distribution
- scientific article; zbMATH DE number 2033195 (Why is no real title available?)
- Locally most powerful test for the random coefficient autoregressive model
- On the stationary marginal distributions of subclasses of multivariate setar processes of order one
- Autoregressive processes with generalized hyperbolic innovations
- Mixture-based extension of the AR model and its recursive Bayesian identification
- Finite mixture modeling of Gaussian regression time series with application to dendrochronology
- Time series models based on the unrestricted skew-normal process
- Robust clustering of COVID-19 cases across U.S. counties using mixtures of asymmetric time series models with time varying and freely indexed covariates
- Nonlinear semiparametric autoregressive model with finite mixtures of scale mixtures of skew normal innovations
- A robust class of homoscedastic nonlinear regression models
- Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
- Heteroscedastic nonlinear regression models using asymmetric and heavy tailed two-piece distributions
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Modeling and forecasting the spread and death rate of coronavirus (COVID-19) in the world using time series models
- Symmetrical and asymmetrical mixture autoregressive processes
- Bayesian modeling of autoregressive partial linear models with scale mixture of normal errors
- A Bayesian approach on the two-piece scale mixtures of normal homoscedastic nonlinear regression models
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