A family of multivariate non‐gaussian time series models

DOI10.1111/jtsa.12529zbMath1453.62625OpenAlexW3032694247MaRDI QIDQ5135318

Tevfik Aktekin, Refik Soyer, Nicholas G. Polson

Publication date: 20 November 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12529

zbMATH Keywords

stochastic volatilitystate spaceparticle learningnon-Gaussian time seriesdynamic time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)

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