On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (Q6122963): Difference between revisions

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Revision as of 15:20, 27 August 2024

scientific article; zbMATH DE number 7812207
Language Label Description Also known as
English
On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
scientific article; zbMATH DE number 7812207

    Statements

    On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (English)
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    4 March 2024
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    vector AR model
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    cointegration
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    full rank estimation
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    vector GARCH process
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    partially nonstationary
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    reduced rank estimation
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