Analysis of variance for high-dimensional time series

DOI10.1007/S11203-018-9187-7zbMath1450.62114OpenAlexW2810826302MaRDI QIDQ1656856

Masanobu Taniguchi, Hideaki Nagahata

Publication date: 10 August 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-018-9187-7

zbMATH Keywords

analysis of varianceDCC-GARCH modelnon-Gaussian vector stationary processhigh-dimensional dependent disturbance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)

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