论文标题
基于高斯和学生的$ t $分布的混合回收模型
A mixture autoregressive model based on Gaussian and Student's $t$-distributions
论文作者
论文摘要
我们引入了一种新的混合回归型号，该模型结合了高斯和学生的$ t $混合组件。该型号具有类似于高斯和学生的$ t $混合回归型号的非常有吸引力的属性，但是它更灵活，因为它可以使型号系列组成，这些模型系列包括有条件的同性恋高斯政权和有条件的异质学生的$ t $ t $制度。我们模型的有用性在经验应用中对3个月的国库账单和有效的联邦资金利率之间的每月利率差异进行了证明。
We introduce a new mixture autoregressive model which combines Gaussian and Student's $t$ mixture components. The model has very attractive properties analogous to the Gaussian and Student's $t$ mixture autoregressive models, but it is more flexible as it enables to model series which consist of both conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic Student's $t$ regimes. The usefulness of our model is demonstrated in an empirical application to the monthly U.S. interest rate spread between the 3-month Treasury bill rate and the effective federal funds rate.
