Using subspace methods to model long-memory processes

DOI10.1007/978-3-030-26036-1_12MaRDI QIDQ2180402zbMATH OpenOpenAlexFDO

Authors Dietmar Bauer

Publication date 14 May 2020

Full work available at URL https://doi.org/10.1007/978-3-030-26036-1_12

zbMATH Keywords

multivariate time seriesfractional integrationrobust proceduressubspace algorithmslong VAR-models

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Fractional processes, including fractional Brownian motion (60G22)

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Cited in

(2)

• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Unsupervised Slow Subspace-Learning from Stationary Processes

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