Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Yanqin Fan; Fang Han; Hyeonseok Park

doi:10.1016/j.jeconom.2023.105513

ScienceGate Book Chapters

JOURNAL ARTICLE

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Yanqin Fan Fang Han Hyeonseok Park

Year: 2023 Journal: Journal of Econometrics Vol: 237 (1)Pages: 105513-105513 Publisher: Elsevier BV

DOI: 10.1016/j.jeconom.2023.105513

Get Full-Text PDF Get Analytical Report

Keywords:

Autoregressive model Mathematics Estimator Copula (linguistics) Gaussian process Applied mathematics Inference Econometrics Gaussian Statistics Computer science Artificial intelligence

Metrics

Cited By

1.92

FWCI (Field Weighted Citation Impact)

Refs

0.79

Citation Normalized Percentile

Is in top 1%

Is in top 10%

Citation History

Topics

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Metrics

Citation History

Topics

Related Documents

High Dimensional Semiparametric Gaussian Copula Graphical Models

High-dimensional semiparametric Gaussian copula graphical models

High-Dimensional Gaussian Copula Regression: Adaptive Estimation and Statistical Inference

Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks

Semiparametric Spatial Autoregressive Tobit Model Estimation