A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting

10.4310/SII.2013.v6.n4.a8

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Bibliographic Details
Main Authors:	Chen, Y., Li, B., Niu, L.
Other Authors:	STATISTICS & APPLIED PROBABILITY
Format:	Article
Published:	2014
Subjects:	Adaptive estimation Multivariate time series Non-stationarity Yield curve
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/104936
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-104936
record_format	dspace
spelling	sg-nus-scholar.10635-1049362023-10-26T07:29:34Z A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting Chen, Y. Li, B. Niu, L. STATISTICS & APPLIED PROBABILITY Adaptive estimation Multivariate time series Non-stationarity Yield curve 10.4310/SII.2013.v6.n4.a8 Statistics and its Interface 6 4 499-509 2014-10-28T05:09:08Z 2014-10-28T05:09:08Z 2013 Article Chen, Y., Li, B., Niu, L. (2013). A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting. Statistics and its Interface 6 (4) : 499-509. ScholarBank@NUS Repository. https://doi.org/10.4310/SII.2013.v6.n4.a8 19387989 http://scholarbank.nus.edu.sg/handle/10635/104936 000330487100008 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Adaptive estimation Multivariate time series Non-stationarity Yield curve
spellingShingle	Adaptive estimation Multivariate time series Non-stationarity Yield curve Chen, Y. Li, B. Niu, L. A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
description	10.4310/SII.2013.v6.n4.a8
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Chen, Y. Li, B. Niu, L.
format	Article
author	Chen, Y. Li, B. Niu, L.
author_sort	Chen, Y.
title	A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
title_short	A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
title_full	A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
title_fullStr	A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
title_full_unstemmed	A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
title_sort	local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/104936
_version_	1781787963815886848

A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting

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