Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
Yeşim Güney, Olçay Arslan, Fulya Gökalp Yavuz
Topics & Concepts
MathematicsHeteroscedasticityAutoregressive modelCovarianceEstimatorOutlierStatisticsMultivariate normal distributionCholesky decompositionMultivariate statisticsEconometricsPhysicsQuantum mechanicsEigenvalues and eigenvectorsAdvanced Statistical Methods and ModelsStatistical Methods and Bayesian InferenceStatistical Distribution Estimation and Applications