Multivariate elliptically contoured autoregressive process

DOI10.6092/ISSN.1973-2201/4326MaRDI QIDQ5148633zbMATH OpenOpenAlexFDO

Authors Taras Bodnar, Arjun K. Gupta

Publication date 4 February 2021

Full work available at URL https://EconPapers.repec.org/RePEc:bot:rivsta:v:73:y:2013:i:3:p:303-316

zbMATH Keywords

elliptically contoured distributionmultivariate autoregressive processStein-Haff

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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• The variational form of certain Bayes estimators

Cited in

(3)

• MULTIVARIATE ECOGARCH PROCESSES
• Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions
• On the ridge regression estimator with sub-space restriction

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