Random autoregressive models: A structured overview
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DOI: 10.1080/07474938.2021.1899504
Abstract: Abstract Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sector-specific, overlapping, and… read more here.
Keywords: structured overview; autoregressive models; models structured; random autoregressive ... See more keywords