activity
20182023
most citedPartial autocorrelation parameterisation of models with unit roots on the unit circle

1 citations · 3 across the 7 of their papers we have counts for

collaborators
Showing 2021Show all

2 papers · 1 filter

stat.ME2021

Bayesian mixture autoregressive model with Student's t innovations

Davide Ravagli, Georgi N. Boshnakov

This paper introduces a fully Bayesian analysis of mixture autoregressive models with Student t components. With the capacity of capturing the behaviour in the tails of the distrib…

stat.ME2021

A signed power transformation with application to white noise testing

Georgi N. Boshnakov, Davide Ravagli

We show that signed power transforms of some ARCH-type processes give ARCH-type processes. The class of ARCH-type models for which this property holds contains many common ARCH and…