Multivariate elliptically contoured autoregressive process

DOI10.6092/issn.1973-2201/4326zbMath1453.62757OpenAlexW1506840622MaRDI QIDQ5148633

Taras Bodnar, Arjun K. Gupta

Publication date: 4 February 2021

Full work available at URL: https://EconPapers.repec.org/RePEc:bot:rivsta:v:73:y:2013:i:3:p:303-316

zbMATH Keywords

elliptically contoured distributionmultivariate autoregressive processStein-Haff

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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