On variable ordination of modified Cholesky decomposition for estimating time-varying covariance matrices Academic Article

authors

• Pourahmadi, Mohsen

published proceedings

• INTERNATIONAL STATISTICAL REVIEW

author list (cited authors)

• Kang, X., Deng, X., Tsui, K., & Pourahmadi, M.

citation count

• 8

complete list of authors

• Kang, Xiaoning||Deng, Xinwei||Tsui, Kam-Wah||Pourahmadi, Mohsen

publication date

• January 2020

publisher

• Wiley  Publisher

published in

• International Statistical Review  Journal

keywords

• Ensemble Estimate
• Multivariate Time Series
• Order Of Variables

Digital Object Identifier (DOI)

• 10.1111/insr.12357

start page

• 616

end page

• 641

volume

• 88

issue

• 3

URL

• http://dx.doi.org/10.1111/insr.12357