Estimation of Conditional Covariance Matrices for a Class of High-Dimensional Varying Coefficient Factor-Generalized Autoregressive Conditional Heteroscedasticity Model
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DOI: 10.3390/sym16121635
Abstract: This paper explores a class of High-Dimensional Varying Coefficient Factor-GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, designed to capture dynamic relationships between variables and account for the heterogeneity of time series data. By exploiting the structure… read more here.
Keywords: coefficient factor; high dimensional; class high; varying coefficient ... See more keywords
Efficient feature screening for ultrahigh-dimensional varying coefficient models
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DOI: 10.4310/sii.2017.v10.n3.a5
Abstract: Feature screening in ultrahigh-dimensional varying coefficient models is a crucial statistical problem in economics, genomics, etc. Current methods not only suffer from circumstances when the models involve multiple index variables or group predictor variables, but… read more here.
Keywords: dimensional varying; varying coefficient; ultrahigh dimensional; coefficient models ... See more keywords