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...
| Главные авторы: | , |
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| Формат: | Статья |
| Язык: | English |
| Опубликовано: |
MDPI AG
2021-03-01
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| Серии: | Mathematics |
| Предметы: | |
| Online-ссылка: | https://www.mdpi.com/2227-7390/9/6/614 |