Regularization for stationary multivariate time series

DOI10.1080/14697688.2012.664933zbMath1278.62167MaRDI QIDQ2873031

Yan Sun, Xiaodong Lin

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

zbMATH Keywords

regularization; asymptotic normality; sparsity; penalty; multivariate GARCH

Mathematics Subject Classification ID

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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