The statistical properties of the innovations in multivariate ARCH processes in high dimensions (Q5746740): Difference between revisions
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Revision as of 00:28, 15 February 2024
scientific article; zbMATH DE number 6256458
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English | The statistical properties of the innovations in multivariate ARCH processes in high dimensions |
scientific article; zbMATH DE number 6256458 |
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The statistical properties of the innovations in multivariate ARCH processes in high dimensions (English)
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8 February 2014
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multivariate ARCH
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covariance matrix
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white noise residuals
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shrinkage
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