Regularization for stationary multivariate time series (Q2873031)

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Regularization for stationary multivariate time series
scientific article

    Statements

    title
    Regularization for stationary multivariate time series (English)
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    author
    Yan Sun
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    Xiaodong Lin
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    publication date
    17 January 2014
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    zbMATH Keywords
    multivariate GARCH
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    regularization
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    penalty
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    sparsity
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    asymptotic normality
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91B84
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    91G70
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    zbMATH DE Number
    6247137
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