Dimension reduction for the conditional mean and variance functions in time series (Q5108975)
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scientific article; zbMATH DE number 7197861
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| English | Dimension reduction for the conditional mean and variance functions in time series |
scientific article; zbMATH DE number 7197861 |
Statements
Dimension reduction for the conditional mean and variance functions in time series (English)
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7 May 2020
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autoregressive conditional heteroscedasticity
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dimension reduction
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Kullback-Leibler divergence
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time series central subspace
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vector correlation coefficient
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0.93686485
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0.89466524
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0.88437474
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0.8809656
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0.8786882
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0.8782329
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0.87716967
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