• Corpus ID: 238198536

Gaussian and Student's $t$ mixture vector autoregressive model

@inproceedings{Virolainen2021GaussianAS,
  title={Gaussian and Student's \$t\$ mixture vector autoregressive model},
  author={Savi Virolainen},
  year={2021}
}
A new mixture vector autoressive model based on Gaussian and Student’s t distributions is introduced. The G-StMVAR model incorporates conditionally homoskedastic linear Gaussian vector autoregressions and conditionally heteroskedastic linear Student’s t vector autoregressions as its mixture components, and mixing weights that, for a pth order model, depend on the full distribution of the preceding p observations. Also a structural version of the model with time-varying B-matrix and… 

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