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Statistical Analysis Of Mixture Vector Autoregressive Models

Published:2016-08-03 Issue:4 Volume:43 Page:1192-1213
ISSN:0303-6898
Container-title:Scandinavian Journal of Statistics
language:en
Short-container-title:Scand J Statist

Author:

Cavicchioli Maddalena¹

Affiliation:

1. Department of Economics; University of Modena and Reggio Emilia

Funder

Cournot Foundation, Mont-sous-Vaudrey

University of Modena and Reggio E.

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/sjos.12237/fullpdf

Reference25 articles.

1. Asymptotic normality of the maximum likelihood estimator for general hidden markov models;Bickel;Ann. Statist.,1988

2. Degeneracy in the maximum likelihood estimation of univariate Gaussian mixtures for grouped data and behaviour of the EM algorithm;Biernacki;Scand. J. Statist.,2007

3. On first and second order stationarity of random coefficient models;Boshnakov;Linear Algebra Appl,2011

4. Time Series: Theory and Methods

5. Determining the number of regimes in Markov switching VAR and VMA models;Cavicchioli;J. Time Series Anal.,2014a

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1. Forecasting Markov switching vector autoregressions: Evidence from simulation and application;Journal of Forecasting;2024-08-15

2. Bayesian Quantile Regression Analysis for Bivariate Vector Autoregressive Models with an Application to Financial Time Series;Computational Economics;2023-11-07

3. Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables;Journal of Multivariate Analysis;2023-07

4. Trend and cycle decomposition of Markov switching (co)integrated time series;Statistical Methods & Applications;2023-06-15

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