Lag length estimation in large dimensional systems
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Publication:5467628
DOI10.1111/1467-9892.00270zbMath1091.62072OpenAlexW2090536775MaRDI QIDQ5467628
Jesús Gonzalo, Jean-Yves Pitarakis
Publication date: 24 May 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/765
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10)
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