Yule–Walker Equations Using a Gini Covariance Matrix for the High-Dimensional Heavy-Tailed PVAR Model

Gini covariance plays a vital role in analyzing the relationship between random variables with heavy-tailed distributions. In this papaer, with the existence of a finite second moment, we establish the Gini–Yule–Walker equation to estimate the transition matrix of high-dimensional periodic vector au...

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Bibliografische Detailangaben

Hauptverfasser:	Jin Zou, Dong Han
Format:	Artigo
Sprache:	Inglês
Veröffentlicht:	MDPI AG 2021-03-01
Schriftenreihe:	Mathematics
Schlagworte:	high dimensional time series transition matrix estimation Gini covariance matrix U-statistics
Online-Zugang:	https://www.mdpi.com/2227-7390/9/6/614
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