Yule–Walker Equations Using a Gini Covariance Matrix for the High-Dimensional Heavy-Tailed PVAR Model
Gini covariance plays a vital role in analyzing the relationship between random variables with heavy-tailed distributions. In this papaer, with the existence of a finite second moment, we establish the Gini–Yule–Walker equation to estimate the transition matrix of high-dimensional periodic vector au...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-03-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/6/614 |