Optimization of the generalized covariance estimator in noncausal processes
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Publication:6581657
DOI10.1007/s11222-024-10437-1zbMath1542.62008MaRDI QIDQ6581657
Gianluca Cubadda, Alain Hecq, Francesco Giancaterini, Joanna Jasiak
Publication date: 31 July 2024
Published in: Statistics and Computing (Search for Journal in Brave)
optimizationsimulated annealingcommodity pricesgeneralized covariance estimatormixed causal and noncausal models
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical mathematical programming methods (65K05)
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