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09/15/2023
A Multi-Companion Method to Periodically Integrated Autoregressive Models
There has been an enormous interest in analysing and modelling periodic ...
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08/09/2022
Partial autocorrelation parameterisation of models with unit roots on the unit circle
We propose a parametrization of autoregressive unit roots ARMA models (A...
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09/02/2021
Bayesian mixture autoregressive model with Student's t innovations
This paper introduces a fully Bayesian analysis of mixture autoregressiv...
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09/01/2021
A signed power transformation with application to white noise testing
We show that signed power transforms of some ARCH-type processes give AR...
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06/19/2020
Bayesian analysis of mixture autoregressive models covering the complete parameter space
Mixture autoregressive (MAR) models provide a flexible way to model time...
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05/27/2020
Portfolio optimization with mixture vector autoregressive models
Obtaining reliable estimates of conditional covariance matrices is an im...
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06/13/2018