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Identification of a class of generalized autoregressive conditional heteroskedasticity (GARCH) models with applications to covariance propagation.

Yin WangMario SznaierOctavia I. CampsFelipe M. Pait
Published in: CDC (2015)
Keyphrases
  • autoregressive
  • moving average
  • random fields
  • non stationary
  • garch model
  • gaussian markov random field
  • sar images
  • multivariate time series
  • feature extraction
  • higher order