A mixture autoregressive model based on Student’s t–distribution
A new mixture autoregressive model based on Student’s t–distribution is proposed. A key feature of our model is that the conditional t–distributions of the component models are based on autoregressions that have multivariate t–distributions as their (low-dimensional) stationary distributions. That a...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2577 https://ink.library.smu.edu.sg/context/soe_research/article/3576/viewcontent/03610926.2021.pdf |
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| Institution: | Singapore Management University |
| Language: | English |