Mixture transition distribution (MTD) modeling of heteroscedastic time series

Computational Statistics and Data Analysis

Volumn 41, Issue 3-4, 2003, Pages 399-411

  Berchtold, André ^a  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

Degenerescence of the log likelihood; Gem algorithm; Heteroscedasticity; HMTD; Mixture; Time series

Indexed keywords

DATA REDUCTION; FINANCE; PROBABILITY DISTRIBUTIONS; SEISMOLOGY; TIME SERIES ANALYSIS;

MIXTURE TRANSITION DISTRIBUTION (MTD);

COMPUTATIONAL METHODS;

NUMERICAL METHOD;

EID: 0037469120     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(02)00191-3     Document Type: Article

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