A mixture autoregressive model based on Student’s t–distribution

• Main Authors: MEITZ, Mika, PREVE, Daniel, SAIKKONEN, Pentti
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Conditional heteroskedasticity; mixture model; regime switching; Student’s t–distribution; Econometrics
• 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
• Institution: Singapore Management University

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...