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S 1. The document proposes a robust mixture of autoregressive models (SMSN-MAR models) based on the scale mixtures of skew-normal (SMSN) family of distributions. The SMSN family allows for modeling outliers, heavy tails, and asymmetries in time series data. 2. An ECME algorithm is described for estimating the parameters of the SMSN-MAR models. Simulation studies and an application to a real data set are presented to illustrate the usefulness of the proposed models. 3. The SMSN family generalizes prev

Author

gado sema

Language

EN