Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form (Q6086165)
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scientific article; zbMATH DE number 7763177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form |
scientific article; zbMATH DE number 7763177 |
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Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form (English)
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9 November 2023
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covariance matrix time series model
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profiled quasi maximum likelihood estimation
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realized covariance matrix
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semiparametric time series model
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structural change testing
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