Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
DOI10.1016/j.jmva.2022.105153OpenAlexW4312221130MaRDI QIDQ2692927
Maicon J. Karling, Roberto M. de Souza, Sílvia R. C. Lopes
Publication date: 17 March 2023
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2022.105153
simulationsmeasures of dependencevector autoregressive processesBayesian techniquescodifferencemultivariate \(\alpha\)-stable distributionsspectral covariance
Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Bayesian inference (62F15) Stable stochastic processes (60G52)
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