scientific article; zbMATH DE number 2060193

MaRDI QIDQ4458424zbMATH OpenFDO

Authors G. Tunnicliffe Wilson, Marco Reale, Alex S. Morton

Publication date 17 March 2004

zbMATH Keywords

conditional independencecyclesdirected acyclic graphsforecastingheteroscedasticitysmoothingterm ratesvector ARMAvector autoregression

Mathematics Subject Classification ID

Applications of graph theory (05C90) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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