A robust score-driven filter for multivariate time series
Year of publication: |
2023
|
---|---|
Authors: | D'Innocenzo, Enzo ; Luati, Alessandra ; Mazzocchi, Mario |
Subject: | In-home scanner data | multivariate models | robust filtering | score-driven models | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Robustes Verfahren | Robust statistics | VAR-Modell | VAR model |
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