Symmetrical and asymmetrical mixture autoregressive processes

DOI10.1214/19-BJPS429zbMATH Open1445.62233OpenAlexW3022291642MaRDI QIDQ783302FDOQ783302

Authors: Mohsen Maleki, Arezo Hajrajabi, Reinaldo B. Arellano-Valle 

Publication date: 12 August 2020

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1588579221

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zbMATH Keywords

nonlinear time seriesscale mixtures of skew-normal distributionsECME-algorithm (expectation/conditional maximisation either)finite mixtures of autoregressive models

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (10)

• A robust class of nonlinear autoregressive models with regression function and dependent innovations using semiparametric kernel estimation
• Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models
• Robust mixture regression modeling based on two-piece scale mixtures of normal distributions
• Nonlinear autoregressive stochastic frontier model with dynamic technical inefficiency in panel data
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Transformed symmetric generalized autoregressive moving average models
• 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
• Heteroscedastic nonlinear regression models using asymmetric and heavy tailed two-piece distributions
• On the symmetric bilateral AR processes

Uses Software

• sn

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