Gaussian mixture vector autoregression

DOI10.1016/j.jeconom.2016.02.012zbMath1420.62389OpenAlexW2268845771MaRDI QIDQ75584

Pentti Saikkonen, Mika Meitz, Leena Kalliovirta, Leena Kalliovirta, Pentti Saikkonen, Mika Meitz

Publication date: June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10138/236799

zbMATH Keywords

regime switchingmixture modelsnonlinear vector autoregressive models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Approximations of conditional probability density functions in Lebesgue spaces via mixture of experts models ⋮ On Construction and Estimation of Stationary Mixture Transition Distribution Models ⋮ A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions ⋮ gmvarkit ⋮ Testing for observation-dependent regime switching in mixture autoregressive models ⋮ A mixture autoregressive model based on Student’s t–distribution

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