Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Yanqin Fan, Fang Han, Hyeonseok Park
| Year of publication: |
2023
|
|---|---|
| Authors: | Fan, Yanqin ; Han, Fang ; Park, Hyeonseok |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 1, p. 1-28
|
| Subject: | -mixing | De-biasing inference | High-dimensional time series | Kendall’s tau | Latent Gaussian process | Sparse transition matrix | Zeitreihenanalyse | Time series analysis | Induktive Statistik | Statistical inference | Schätztheorie | Estimation theory | VAR-Modell | VAR model | Gauß-Prozess | Gaussian process | Multivariate Verteilung | Multivariate distribution | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105513 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471479