Clustering heteroskedastic time series by model-based procedures

DOI10.1016/j.csda.2008.03.020zbMath1452.62784OpenAlexW2047136934MaRDI QIDQ1023824

Edoardo Otranto

Publication date: 16 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.2008.03.020

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• itsmr

Cites Work

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