Two-step adaptive model selection for vector autoregressive processes
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Publication:391558
DOI10.1016/j.jmva.2013.01.004zbMath1277.62219OpenAlexW1971705095MaRDI QIDQ391558
Yunwen Ren, Zhiguo Xiao, Xin Sheng Zhang
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.01.004
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)
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