Multivariate elliptically contoured autoregressive process
In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Bologna
2014-05-01
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| Series: | Statistica |
| Subjects: | |
| Online Access: | http://rivista-statistica.unibo.it/article/view/4326 |