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Robust Estimation of Transition Matrices in High Dimensional Heavy-tailed Vector Autoregressive Processes
Gaussian vector autoregressive (VAR) processes have been extensively studied in the literature. However, Gaussian assumptions are stringent for heavy-tailed time series that frequently arises in finance and economics. In this paper, we develop a unified framework for modeling and estimating heavy-ta...
Gorde:
| Argitaratua izan da: | JMLR Workshop Conf Proc |
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| Egile Nagusiak: | , , , , |
| Formatua: | Artigo |
| Hizkuntza: | Inglês |
| Argitaratua: |
2015
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| Gaiak: | |
| Sarrera elektronikoa: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5266499/ https://ncbi.nlm.nih.gov/pubmed/28133642 |
| Etiketak: |
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