Sparse Change-point HAR Models for Realized Variance (Q5860933)
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scientific article; zbMATH DE number 7484469
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse Change-point HAR Models for Realized Variance |
scientific article; zbMATH DE number 7484469 |
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Sparse Change-point HAR Models for Realized Variance (English)
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4 March 2022
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Bayesian inference
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change-point model
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online forecasting
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realized variance
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shrinkage prior
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time series
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