On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices

DOI10.1111/insr.12357zbMath1528.62026OpenAlexW2993651713WikidataQ126645976 ScholiaQ126645976MaRDI QIDQ6064131

Xinwei Deng, Mohsen Pourahmadi, Xiaoning Kang, Kam-Wah Tsui

Publication date: 12 December 2023

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/insr.12357

zbMATH Keywords

multivariate time seriesorder of variablesensemble estimate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Autoregressive approximations to nonstationary time series with inference and applications ⋮ An improved banded estimation for large covariance matrix

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