Regularization for stationary multivariate time series
From MaRDI portal
Publication:2873031
DOI10.1080/14697688.2012.664933zbMath1278.62167MaRDI QIDQ2873031
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.664933
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
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