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Identification of a class of generalized autoregressive conditional heteroskedasticity (GARCH) models with applications to covariance propagation.
Yin Wang
Mario Sznaier
Octavia I. Camps
Felipe M. Pait
Published in:
CDC (2015)
Keyphrases
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autoregressive
moving average
random fields
non stationary
garch model
gaussian markov random field
sar images
multivariate time series
feature extraction
higher order