Autoregressive processes with generalized hyperbolic innovations
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Publication:5083924
DOI10.1080/03610918.2018.1535066zbMath1489.62275OpenAlexW2913908511WikidataQ128497135 ScholiaQ128497135MaRDI QIDQ5083924
Safdar Ghasami, Mohsen Maleki, Zahra Khodadadi
Publication date: 21 June 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2018.1535066
EM algorithmautoregressive modelhierarchical representationgeneralized inverse Gaussiangeneralized-hyperbolic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
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