A Bayesian Approach to Heavy-Tailed Finite Mixture Autoregressive Models
<b> </b>In this paper, a Bayesian analysis of finite mixture autoregressive (MAR) models based on the assumption of scale mixtures of skew-normal (SMSN) innovations (called SMSN–MAR) is considered. This model is not simultaneously sensitive to outliers, as the celebrated SMSN distributio...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-06-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/12/6/929 |