ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density (Q6075127)
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scientific article; zbMATH DE number 7752697
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density |
scientific article; zbMATH DE number 7752697 |
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ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density (English)
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20 October 2023
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alternating ECM algorithm
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high frequency returns
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persistence
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vector ARMA model
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