Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model (Q6090554)
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scientific article; zbMATH DE number 7767707
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model |
scientific article; zbMATH DE number 7767707 |
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Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model (English)
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17 November 2023
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high-dimensional time series
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sparse transition matrix
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\(\alpha\)-mixing
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latent Gaussian process
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de-biasing inference
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Kendall's tau
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