Mixtures of Autoregressions with an Improper Component for Panel Data

Nicholas Longford () and Pierpaolo D’Urso
Authors registered in the RePEc Author Service: Pierpaolo D'Urso

Journal of Classification, 2012, vol. 29, issue 3, 362 pages

Abstract: 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. Copyright Springer Science+Business Media, LLC 2012

Keywords: Autoregression; EM algorithm; Improper component; Mixture; Outliers; Panel data (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00357-012-9111-6

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