9 citations · 19 across the 6 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
econ.EM2018★ 6 cited
A mixture autoregressive model based on Student's -distribution
Mika Meitz, Daniel Preve, Pentti Saikkonen
A new mixture autoregressive model based on Student's -distribution is proposed. A key feature of our model is that the conditional -distributions of the component models are…
math.ST2018★ 9 cited
Stationarity and ergodicity of vector STAR models
Igor L. Kheifets, Pentti J. Saikkonen
Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed,…