Discussion

Journal of Computational and Graphical Statistics

Volumn 10, Issue 1, 2001, Pages 82-89

  Huerta, Gabriel ^a   Jiang, Wenxin ^b   Tanner, Martin A ^b  

^a Centro De lnv En Matematicas   (Mexico)

^b NORTHWESTERN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 10844284008     PISSN: 10618600     EISSN: 15372715     Source Type: Journal    
DOI: 10.1198/10618600152418755     Document Type: Article

References (6)

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2. Bollerslev, T. (1986), “Generalized Autoregressive ConditionalHeteroskedasticity,” Journal ofEconometrics, 31, 307-327.
3. Huerta, G., Jiang, W., and Tanner, M. A. (2000), “Time Series Modeling via Hierarchical Mixtures,” Technical Report, Northwestern University.
4. Jordan, M. I., and Jacobs, R. A. (1994), “Hierarchical Mixtures ofExperts andtheEM Algorithm,”Neural Comp., 6, 181-214.
5. McCulloch, R. E., and Tsay, R. S. (1993), “Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series,” Journal of the American Statistical association, 88, 968-978.
6. Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347-370