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Search: subject:"local covariance matrix"
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Multivariate time series
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asymptotic properties
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forecasting
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kernel estimation
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local covariance matrix
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slowly changing vector random walk
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Feng, Yuanhua
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Yu, Keming
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model
Feng, Yuanhua
;
Yu, Keming
-
Volkswirtschaftliche Fakultät, …
-
2006
. Nonparametric estimation of
local
covariance
matrix
is proposed. The asymptotic distributions, including asymptotic biases …
Persistent link: https://www.econbiz.de/10005835868
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