Student's $t$ VAR Modeling With Missing Data Via Stochastic EM and Gibbs Sampling
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DOI: 10.1109/tsp.2020.3033378
Abstract: The vector autoregressive (VAR) models provide a significant tool for multivariate time series analysis. Owing to the mathematical simplicity, existing works on VAR modeling are rigidly inclined towards the multivariate Gaussian distribution. However, heavy-tailed distributions… read more here.
Keywords: heavy tailed; student; missing data; gibbs sampling ... See more keywords