Dimension reduction for the conditional mean and variance functions in time series

DOI10.1111/SJOS.12405zbMath1444.62107OpenAlexW2966068697MaRDI QIDQ5108975

S. Yaser Samadi, Jin-Hong Park

Publication date: 7 May 2020

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12405

zbMATH Keywords

dimension reductionKullback-Leibler divergencevector correlation coefficienttime series central subspaceautoregressive conditional heteroscedasticity

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Dimension reduction in time series under the presence of conditional heteroscedasticity

This page was built for publication: Dimension reduction for the conditional mean and variance functions in time series