The statistical properties of the innovations in multivariate ARCH processes in high dimensions (Q5746740)
From MaRDI portal
scientific article; zbMATH DE number 6256458
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The statistical properties of the innovations in multivariate ARCH processes in high dimensions |
scientific article; zbMATH DE number 6256458 |
Statements
The statistical properties of the innovations in multivariate ARCH processes in high dimensions (English)
0 references
8 February 2014
0 references
multivariate ARCH
0 references
covariance matrix
0 references
white noise residuals
0 references
shrinkage
0 references
