Asymmetric heavy-tailed vector auto-regressive processes with application to financial data (Q5107711): Difference between revisions

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Latest revision as of 12:33, 22 July 2024

scientific article; zbMATH DE number 7194288
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English
Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
scientific article; zbMATH DE number 7194288

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    Asymmetric heavy-tailed vector auto-regressive processes with application to financial data (English)
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    28 April 2020
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    VAR processes
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    scale mixtures of multivariate skew-normal
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    EM-type algorithm
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    outliers
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    asymmetric distributions
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    heavy tailed distributions
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    financial data
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    multivariate time series
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