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22-001/III - Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions


  • Authors
    Francisco Blasques, Vrije Universiteit Amsterdam, Tinbergen Institute; Janneke van Brummelen, Vrije Universiteit Amsterdam, Tinbergen Institute; Paolo Gorgi, Vrije Universiteit Amsterdam, Tinbergen Institute; Siem Jan Koopman, Vrije Universiteit Amsterdam, Tinbergen Institute, CREATES, Aarhus University
  • Publication date
    January 6, 2022
  • Keywords
    time-varying parameters, asymmetric and heavy-tailed distributions, robust lter, invertibility, consistency, asymptotic normality.
  • JEL
    C13, C22