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

zbMATH Keywords

predictionrobustnessLaplace distributionmodified decompositionheteroscedastic regression modelsjoint mean and scale covariance model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Uses Software

• nlme

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