Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models.
Balázs Csanád CsájiPublished in: AISTATS (2016)
Keyphrases
- autoregressive
- finite sample
- random fields
- garch model
- sample size
- multivariate time series
- uniform convergence
- nearest neighbor
- non stationary
- sar images
- bayesian networks
- maximum entropy
- markov random field
- parameter estimation
- knn
- multiscale
- model selection
- machine learning
- stock market
- multiresolution
- bayesian inference
- reproducing kernel hilbert space
- similarity measure