In this paper, the constrained M-estimation of the regression coefficients and scatter parameters in a multivariate linear regression model is considered. Robustness and asymptotic behavior are ...
The exponentially weighted moving average (EWMA) model is a particular modeling scheme, supported by RiskMetrics, that is capable of forecasting the current level of volatility of financial time ...
This is a preview. Log in through your library . Abstract Under the usual assumptions of normality, the recursive estimator known as the Kalman filter gives excellent results and has found an ...
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