Modeling RCOV matrices with a generalized threshold conditional autoregressive Wishart model
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Publication:6096701
DOI10.4310/sii.2020.v13.n1.a7OpenAlexW2985866805WikidataQ126832252 ScholiaQ126832252MaRDI QIDQ6096701
Yan Cui, Wai Keung Li, Fukang Zhu
Publication date: 15 September 2023
Published in: Statistics and Its Interface (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/sii.2020.v13.n1.a7
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics (62-XX) Economic time series analysis (91B84)
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