Stochastic multivariate mixture covariance model

DOI10.1002/FOR.2419MaRDI QIDQ4687595zbMATH OpenOpenAlexFDO

Authors Mike K. P. So, Raymond W. M. Li, Manabu Asai, Yue Jiang

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2419

zbMATH Keywords

Bayesian model selectionMCMC samplingmixture modeling

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(4)

• Stochastic comparisons of multivariate mixture models
• CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
• Independent Component Analysis and Blind Signal Separation
• Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations

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