On variable ordination of modified Cholesky decomposition for estimating time-varying covariance matrices

Kang, XN; Deng, XW; Tsui, KW; Pourahmadi, M

Deng, XW (reprint author), Virginia Tech, Dept Stat, Blacksburg, VA 24061 USA.

INTERNATIONAL STATISTICAL REVIEW, 0; ():

Abstract

Estimating time-varying covariance matrices of the vector of interest is challenging both computationally and statistically due to a large number of c......

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