Wavelet based time-varying vector autoregressive modelling
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Publication:1020686
DOI10.1016/j.csda.2006.10.027zbMath1330.62346MaRDI QIDQ1020686
Paula R. Arantes, Edson jun. Amaro, João Ricardo Sato, Pedro Alberto Morettin
Publication date: 2 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.10.027
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems
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Uses Software
Cites Work
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