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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...
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| Publicado no: | JMLR Workshop Conf Proc |
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| Main Authors: | , , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2015
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5266499/ https://ncbi.nlm.nih.gov/pubmed/28133642 |
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