Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering (Q468111)
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scientific article; zbMATH DE number 6366168
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| English | Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering |
scientific article; zbMATH DE number 6366168 |
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Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering (English)
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5 November 2014
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vector autoregressive processes
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sequential Monte Carlo
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particle filtering
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cross-correlated processes
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0.8380677103996277
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0.7815790772438049
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0.768125593662262
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0.7631773948669434
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0.7507259845733643
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