Robust Estimation of Transition Matrices in High Dimensional Heavy-tailed Vector Autoregressive Processes thumbnail
Pause
Mute
Subtitles not available
Playback speed
0.25
0.5
0.75
1
1.25
1.5
1.75
2
Full screen

Robust Estimation of Transition Matrices in High Dimensional Heavy-tailed Vector Autoregressive Processes

Published on Sep 27, 20151897 Views

Gaussian vector autoregressive (VAR) processes have been extensively studied in the literature. However, Gaussian assumptions are stringent for heavy-tailed time series that frequently arises in finan

Related categories