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Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture.

Zeynab AghabazazIraj KazemiAlireza Nematollahi
Published in: J. Comput. Appl. Math. (2024)
Keyphrases
  • statistical models
  • multivariate gaussian distribution
  • dirichlet process mixture
  • feature space