Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (Q6079952): Difference between revisions
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Latest revision as of 19:12, 30 December 2024
scientific article; zbMATH DE number 7756783
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture |
scientific article; zbMATH DE number 7756783 |
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Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (English)
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30 October 2023
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centered Dirichlet process
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cross-sectional dependence
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Hamiltonian Monte Carlo
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heterogeneous covariance matrix
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high-frequency volatility
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MODWT
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