Automated variable selection in vector multiplicative error models

DOI10.1016/j.csda.2009.08.007zbMath1284.91582OpenAlexW2051378319MaRDI QIDQ2445703

Fabrizio Cipollini, Giampiero M. Gallo

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://local.disia.unifi.it/ricerca/pubblicazioni/working_papers/2009/wp2009_02.pdf

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items

Adaptive Lasso for vector Multiplicative Error Models ⋮ Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics

Uses Software

• NEWUOA
• COBYLA2
• QRM

Cites Work

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