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Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions

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  • Juárez, Miguel A.
  • Steel, Mark F. J.

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  • Juárez, Miguel A. & Steel, Mark F. J., 2010. "Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 52-66.
    • Handle: RePEc:bes:jnlbes:v:28:i:1:y:2010:p:52-66
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    1. Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024. "Modeling and Forecasting Macroeconomic Downside Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
    2. Sylvia Frühwirth‐Schnatter & Christoph Pamminger & Andrea Weber & Rudolf Winter‐Ebmer, 2012. "Labor market entry and earnings dynamics: Bayesian inference using mixtures‐of‐experts Markov chain clustering," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(7), pages 1116-1137, November.
    3. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
    4. Fabrizi, Enrico & Salvati, Nicola & Trivisano, Carlo, 2020. "Robust Bayesian small area estimation based on quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 145(C).
    5. Haupt, Harry & Meier, Verena, 2016. "Dealing with heterogeneity, nonlinearity and club misclassification in growth convergence: A nonparametric two-step approach," Center for Mathematical Economics Working Papers 455, Center for Mathematical Economics, Bielefeld University.
    6. Yasutomo Murasawa, 2013. "Measuring Inflation Expectations Using Interval-Coded Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(4), pages 602-623, August.
    7. repec:wrk:wrkemf:34 is not listed on IDEAS
    8. Sylvia Frühwirth-Schnatter & Stefan Pittner & Andrea Weber & Rudolf Winter-Ebmer, 2016. "Analysing Plant Closure Effects Using Time-Varying Mixture-of-Experts Markov Chain Clustering," Economics working papers 2016-10, Department of Economics, Johannes Kepler University Linz, Austria.
    9. Aßmann, Christian & Boysen-Hogrefe, Jens, 2011. "A Bayesian approach to model-based clustering for binary panel probit models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 261-279, January.
    10. Maruotti, Antonello & Punzo, Antonio, 2017. "Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 475-496.
    11. Jane L. Harvill & Priya Kohli & Nalini Ravishanker, 2017. "Clustering Nonlinear, Nonstationary Time Series Using BSLEX," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 935-955, September.
    12. Sricharan Shah & Partha Jyoti Hazarika & Subrata Chakraborty & M. Masoom Ali, 2023. "A Generalized-Alpha–Beta-Skew Normal Distribution with Applications," Annals of Data Science, Springer, vol. 10(4), pages 1127-1155, August.
    13. Petrella, Ivan & Antolin-Diaz, Juan & Drechsel, Thomas, 2021. "Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data," CEPR Discussion Papers 15926, C.E.P.R. Discussion Papers.
    14. Grazian, Clara & Villa, Cristiano & Liseo, Brunero, 2020. "On a loss-based prior for the number of components in mixture models," Statistics & Probability Letters, Elsevier, vol. 158(C).
    15. Praveen Kumar Tripathi & Manika Agarwal, 2024. "A Bayes Analysis of Random Walk Model Under Different Error Assumptions," Annals of Data Science, Springer, vol. 11(5), pages 1635-1652, October.
    16. J. Voelzke, 2016. "Individual labour income, stock prices and whom it may concern," Applied Economics Letters, Taylor & Francis Journals, vol. 23(13), pages 965-968, September.
    17. Francisco J. Rubio & Keming Yu, 2017. "Flexible objective Bayesian linear regression with applications in survival analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(5), pages 798-810, April.
    18. Hyeong-Min Lee & William C. Wright & Min Pan & Jonathan Low & Duane Currier & Jie Fang & Shivendra Singh & Stephanie Nance & Ian Delahunty & Yuna Kim & Richard H. Chapple & Yinwen Zhang & Xueying Liu , 2023. "A CRISPR-drug perturbational map for identifying compounds to combine with commonly used chemotherapeutics," Nature Communications, Nature, vol. 14(1), pages 1-18, December.
    19. Federico Fioravanti & Fernando Delbianco & Fernando Tohmé, 2023. "The relative importance of ability, luck and motivation in team sports: a Bayesian model of performance in the English Rugby Premiership," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(3), pages 715-731, September.
    20. Sylvia Frühwirth-Schnatter, 2011. "Panel data analysis: a survey on model-based clustering of time series," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 5(4), pages 251-280, December.

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