Conditionally heteroscedastic unobserved component models and their reduced form (Q974179): Difference between revisions
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| Property / cites work: TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES / rank | |||
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| Property / cites work: Unobserved component models with asymmetric conditional variances / rank | |||
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Latest revision as of 21:37, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditionally heteroscedastic unobserved component models and their reduced form |
scientific article |
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Conditionally heteroscedastic unobserved component models and their reduced form (English)
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27 May 2010
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state space models
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non-Gaussian distributions
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excess kurtosis
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autocorrelations of squares
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