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High-dimensional penalized arch processes - MaRDI portal

High-dimensional penalized arch processes (Q5861049)

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scientific article; zbMATH DE number 7484569
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English
High-dimensional penalized arch processes
scientific article; zbMATH DE number 7484569

    Statements

    title
    High-dimensional penalized arch processes (English)
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    author
    Benjamin Poignard
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    Jean-David Fermanian
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    publication date
    4 March 2022
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    zbMATH Keywords
    multivariate ARCH
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    positive definiteness
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    sparse group Lasso
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    stationarity
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62H12
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    62J07
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    62P05
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    91G10
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    zbMATH DE Number
    7484569
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    OpenAlex ID
    W3025340536
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