Statistical analysis of mixture vector autoregressive models

DOI10.1111/SJOS.12237MaRDI QIDQ2835319zbMATH OpenOpenAlexFDO

Authors Maddalena Cavicchioli

Publication date 2 December 2016

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12237

zbMATH Keywords

autocovariance functionEM algorithmmaximum likelihood estimatesmixture vector autoregressive modelmodel selectionstationarityvector autoregressive moving-average representation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Analysis of the likelihood function for Markov-switching VAR(CH) models
• Analytical derivatives for Morkov switching models
• Degeneracy in the Maximum Likelihood Estimation of Univariate Gaussian Mixtures for Grouped Data and Behaviour of the EM Algorithm
• Determining the number of regimes in Markov switching VAR and VMA models
• Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• On a Mixture Autoregressive Model
• On a mixture vector autoregressive model
• On first and second order stationarity of random coefficient models
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• Penalized Maximum Likelihood Estimator for Normal Mixtures
• Stationarity of multivariate Markov-switching ARMA models
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Time series: theory and methods.
• Weak VARMA representations of regime-switching state-space models

Cited in

(16)

• On mixture autoregressive conditional heteroskedasticity
• On a constrained mixture vector autoregressive model
• Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
• On a logistic mixture autoregressive model
• On mixture periodic vector autoregressive models
• Bayesian analysis of mixture of autoregressive components with an application to financial market volatility
• Hidden Markov mixture autoregressive models: stability and moments
• On a mixture vector autoregressive model
• Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity
• scientific article; zbMATH DE number 2217375 (Why is no real title available?)
• A Mixed Copula-Based Vector Autoregressive Model for Econometric Analysis
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• Trend and cycle decomposition of Markov switching (co)integrated time series
• Likelihood-based analysis in mixture global vars
• Gaussian mixture vector autoregression

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