Gaussian mixture vector autoregression

DOI10.1016/J.JECONOM.2016.02.012zbMATH Open1420.62389OpenAlexW2268845771MaRDI QIDQ75584FDOQ75584

Authors: Leena Kalliovirta, Mika Meitz, Pentti Saikkonen 

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

Recommendations

• Statistical analysis of mixture vector autoregressive models
• A Gaussian Mixture Autoregressive Model for Univariate Time Series
• On a mixture vector autoregressive model
• On a Mixture Autoregressive Model
• On mixture periodic vector autoregressive models

zbMATH Keywords

mixture modelsnonlinear vector autoregressive modelsregime switching

Mathematics Subject Classification ID

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

Cites Work

• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Markov chains for exploring posterior distributions. (With discussion)
• Regression density estimation using smooth adaptive Gaussian mixtures
• On a logistic mixture autoregressive model
• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Methods for inference in large multiple-equation Markov-switching models
• Markov Chains and Stochastic Stability
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Title not available (Why is that?)
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Optimal test for Markov switching parameters
• On a Mixture Autoregressive Model
• Misspecification tests based on quantile residuals
• Modelling Nonlinear Economic Time Series
• A Gaussian Mixture Autoregressive Model for Univariate Time Series
• Title not available (Why is that?)
• The Lindeberg-Levy Theorem for Martingales
• On a mixture vector autoregressive model
• Testing for Regime Switching
• On the Identifiability of Finite Mixtures
• Relations between Weak and Uniform Convergence of Measures with Applications
• Elements of multivariate time series analysis.
• Multivariate contemporaneous-threshold autoregressive models

Cited In (14)

• Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
• Generalized binary vector autoregressive processes
• On a constrained mixture vector autoregressive model
• A mixture autoregressive model based on Student’s t–distribution
• Autoregressive Gaussian random vectors of first order
• Testing for observation-dependent regime switching in mixture autoregressive models
• Regularization and selection in Gaussian mixture of autoregressive models
• Title not available (Why is that?)
• A Gaussian Mixture Autoregressive Model for Univariate Time Series
• Statistical analysis of mixture vector autoregressive models
• gmvarkit
• On Construction and Estimation of Stationary Mixture Transition Distribution Models
• A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions
• Approximations of conditional probability density functions in Lebesgue spaces via mixture of experts models

This page was built for publication: Gaussian mixture vector autoregression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q75584)