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The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic ...

This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...
JSTOR Daily

Multivariate functional-coefficient regression models for nonlinear vector time series data

Vector time series data are widely met in practice. In this paper we propose a multivariate functional-coefficient regression model with heteroscedasticity for modelling such data. A local linear ...
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Multivariate Analysis and Measurement

This course is available on the Global MSc in Management, Global MSc in Management (CEMS MIM), Global MSc in Management (MBA Exchange), MSc in Applied Social Data Science, MSc in European and ...