Asymmetric heavy-tailed vector auto-regressive processes with application to financial data (Q5107711): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: vars / rank | |||
Normal rank | |||
Revision as of 11:54, 28 February 2024
scientific article; zbMATH DE number 7194288
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymmetric heavy-tailed vector auto-regressive processes with application to financial data |
scientific article; zbMATH DE number 7194288 |
Statements
Asymmetric heavy-tailed vector auto-regressive processes with application to financial data (English)
0 references
28 April 2020
0 references
VAR processes
0 references
scale mixtures of multivariate skew-normal
0 references
EM-type algorithm
0 references
outliers
0 references
asymmetric distributions
0 references
heavy tailed distributions
0 references
financial data
0 references
multivariate time series
0 references
