Regularization and selection in Gaussian mixture of autoregressive models
Author:
Affiliation:
1. Department of Mathematics and Statistics; McGill University; Montreal QC Canada
2. Department of Statistics; University of British Columbia; Vancouver BC Canada
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference20 articles.
1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
2. Heuristics of instability and stabilization in model selection;Breiman;Annals of Statistics,1996
3. Inference for normal mixtures in mean and variance;Chen;Statistica Sinica,2008
4. Optimal rate of convergence for finite mixture models;Chen;Annals of Statistics,1995
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