Browsing Modelización, Optimización e Inferencia Estadística (MODES) by Subject "Mixtures models"
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Bayesian estimation of the Gaussian mixture GARCH model
(Elsevier, 2007)Bayesian inference and prediction for a generalized autoregressive conditional heteroskedastic (GARCH) model where the innovations are assumed to follow a mixture of two Gaussian distributions is performed. The mixture ...