A robust score-driven filter for multivariate time series
Enzo D'Innocenzo, Alessandra Luati, and Mario Mazzocchi
| Year of publication: |
2023
|
|---|---|
| Authors: | D'Innocenzo, Enzo ; Luati, Alessandra ; Mazzocchi, Mario |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 42.2023, 5, p. 441-470
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| Subject: | In-home scanner data | multivariate models | robust filtering | score-driven models | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Robustes Verfahren | Robust statistics | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2023.2198930 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014305555