Dynamic covariance modeling with artificial neural networks

Autor:	Amanda M. Y. Chu, Mike K. P. So, Wing Ki Liu
Rok vydání:	2021
Předmět:	Statistics and Probability Multivariate statistics Heteroscedasticity Autoregressive model Artificial neural network Computer science Covariance matrix Applied Mathematics Autoregressive conditional heteroskedasticity Applied mathematics Covariance Analysis Cholesky decomposition
Zdroj:	Communications in Statistics: Case Studies, Data Analysis and Applications. 8:15-42
ISSN:	2373-7484
DOI:	10.1080/23737484.2021.1972876
Popis:	This article proposes a novel multivariate generalized autoregressive conditionally heteroscedastic (GARCH) model that incorporates the modified Cholesky decomposition for a covariance matrix in or...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::06dc0abe2cc06c62d9ef872bba5f8301 https://doi.org/10.1080/23737484.2021.1972876 Zobrazit plný text záznamu