Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
DOI10.1016/j.jmva.2022.105026zbMath1493.62307OpenAlexW4281285846WikidataQ113870427 ScholiaQ113870427MaRDI QIDQ2146464
Yeşim Güney, Olcay Arslan, Fulya Gokalp Yavuz
Publication date: 16 June 2022
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2022.105026
predictionrobustnessLaplace distributionmodified decompositionheteroscedastic regression modelsjoint mean and scale covariance model
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Uses Software
Cites Work
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