Robust estimation of transition matrices in high dimensional heavy-tailed vector autoregressive processes

Keyphrases

• Robust Estimation 100%
• Transition Matrix 100%
• Vector Autoregressive Process 100%
• Vector Autoregressive Model 33%
• Heavy-tailed Time Series 33%
• Gaussian Vectors 33%
• Granger Causality 33%
• Superior Performance 16%
• Proposed Methodology 16%
• Convergence Rate 16%
• High-dimensional Data 16%
• Unified Framework 16%
• Heavy Tails 16%
• Empirical Performance 16%
• Robust Estimator 16%
• Consistent Estimator 16%
• Parametric Rate 16%
• High-dimensional Vectors 16%
• Stock Price Prediction 16%
• Gaussian Assumption 16%
• Quantile Approach 16%

Mathematics

• Transition Matrix 100%
• Robust Test 100%
• Autoregressive Model 100%
• Gaussian Distribution 50%
• Time Series 33%
• Time Series Analysis 33%
• Vector Autoregressive Model 33%
• Parametric 16%
• Higher Dimensions 16%
• Synthetic Data 16%
• Real Data 16%
• Robust Estimator 16%
• Consistent Estimator 16%
• Dimensional Vector 16%
• Heavy Tail 16%
• Quantile 16%
• Rate of Convergence 16%