Autoregressive Order Identification for VAR Models with Non Constant Variance
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Publication:3462352
DOI10.1080/03610926.2013.773763zbMath1419.62245arXiv1204.0757OpenAlexW2090842533MaRDI QIDQ3462352
Publication date: 5 January 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.0757
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Analysis of variance and covariance (ANOVA) (62J10) Statistical aspects of information-theoretic topics (62B10)
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