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...
| Huvudupphovsmän: | , |
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| Materialtyp: | Artikel |
| Språk: | English |
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MDPI AG
2021-03-01
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| Serie: | Mathematics |
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| Länkar: | https://www.mdpi.com/2227-7390/9/6/614 |