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

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
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