The ACR Model: A Multivariate Dynamic Mixture Autoregression*

Screening for a Multivariate Mixture Normal Distribution

Modified Burg Algorithms for Multivariate Subset Autoregression

Lattice algorithms for estimating the parameters of a multivariate autoregression are generalized to deal with subset models in which some of the coefficient matrices are constrained to be zero. We first establish a recursive prediction-error version of the empirical Yule-Walker equations. The estimated coefficient matrices obtained from these recursions are the coefficients of the best linear ...

a dynamic investigation to indexes spillovers in tehran stock exchange using a multivariate dynamic model

return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

Bayesian Dirichlet mixture model for multivariate extremes: A re-parametrization

The probabilistic framework of extreme value theory is well-known: the dependence structure of large events is characterized by an angular measure on the positive orthant of the unit sphere. The family of these angular measures is non-parametric by nature. Nonetheless, any angular measure may be approached arbitrarily well by a mixture of Dirichlet distributions. The semi-parametric Dirichlet m...

A Multivariate Gaussian Mixture Model for Automatic Compound Word Extraction

An improved statistical model is proposed in this paper for extracting compound words from a text corpus. Traditional terminology extraction methods rely heavily on simple filtering-and-thresholding methods, which are unable to minimize the error counts objectively. Therefore, a method for minimizing the error counts is very desirable. In this paper, an improved statistical model is developed t...