Mixtures of Autoregressions with an Improper Component for Panel Data

被引：3

作者：

Longford, Nicholas T. ^{[1
]}

D'Urso, Pierpaolo ^{[2
]}

机构：

[1] Univ Pompeu Fabra, Dept Econ & Empresa, Barcelona 08005, Spain

[2] Sapienza Univ, Rome, Italy

来源：

JOURNAL OF CLASSIFICATION | 2012年 / 29卷 / 03期

关键词：

Autoregression; EM algorithm; Improper component; Mixture; Outliers; Panel data; MAXIMUM-LIKELIHOOD; EM; NUMBER;

D O I：

10.1007/s00357-012-9111-6

中图分类号：

O1 [数学];

学科分类号：

070101 [基础数学];

摘要：

An EM algorithm for fitting mixtures of autoregressions of low order is constructed and the properties of the estimators are explored on simulated and real datasets. The mixture model incorporates a component with an improper density, which is intended for outliers. The model is proposed as an alternative to the search for the order of a single-component autoregression. The methods can be adapted to other patterns of dependence in panel data. An application to the monthly records of income of the outlets of a retail company is presented.

引用

页码：341 / 362

页数：22

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