On the reduced-rank model with leading index

DOI10.1177/1471082X1001100604zbMath1420.62387OpenAlexW2331949461MaRDI QIDQ5193320

Yu-Pin Hu

Publication date: 10 September 2019

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/1471082x1001100604

zbMATH Keywords

index modelvector autoregressive modelreduced-rank model

Mathematics Subject Classification ID

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

Cites Work

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