Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean (Q452998): Difference between revisions
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| Property / author: Valentin Patilea / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G10 / rank | |||
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| Property / zbMATH DE Number: 6083679 / rank | |||
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VAR model | |||
| Property / zbMATH Keywords: VAR model / rank | |||
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heteroscedastic errors | |||
| Property / zbMATH Keywords: heteroscedastic errors / rank | |||
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adaptive least squares | |||
| Property / zbMATH Keywords: adaptive least squares / rank | |||
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ordinary least squares | |||
| Property / zbMATH Keywords: ordinary least squares / rank | |||
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kernel smoothing | |||
| Property / zbMATH Keywords: kernel smoothing / rank | |||
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linear causality in mean | |||
| Property / zbMATH Keywords: linear causality in mean / rank | |||
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Bahadur relative efficiency | |||
| Property / zbMATH Keywords: Bahadur relative efficiency / rank | |||
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Revision as of 11:52, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean |
scientific article |
Statements
Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean (English)
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18 September 2012
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VAR model
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heteroscedastic errors
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adaptive least squares
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ordinary least squares
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kernel smoothing
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linear causality in mean
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Bahadur relative efficiency
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