Using subspace methods to model long-memory processes

DOI10.1007/978-3-030-26036-1_12zbMATH Open1434.62181OpenAlexW2981103085MaRDI QIDQ2180402FDOQ2180402

Authors: Dietmar Bauer 

Publication date: 14 May 2020

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

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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)

Cited In (2)

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

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