Diagnostic analysis for a vector autoregressive model under Student′s t‐distributions
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Publication:6088212
DOI10.1111/stan.12102zbMath1528.62046OpenAlexW2551778499MaRDI QIDQ6088212
Shuangzhe Liu, Unnamed Author, Yong Hui Liu
Publication date: 13 December 2023
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/stan.12102
curvaturemaximum likelihood estimatorperturbation schemevector autoregressive modelStudent's \(t\)-distribution
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diagnostics, and linear inference and regression (62J20)
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