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Apr, 2023
非平稳时间序列的矩方法移动估计自适应学生t分布
Adaptive Student's t-distribution with method of moments moving estimator for nonstationary time series
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Jarek Duda
TL;DR
该研究讨论了如何使用移动估计器来适应非平稳的实际时间序列数据,并以学生 t-分布为例进行演示,以获得在不同时间单位内的泰尔指数演变, 以概括市场的稳定性。
Abstract
The real life time series are usually
nonstationary
, bringing a difficult question of model adaptation. Classical approaches like GARCH assume arbitrary type of dependence. To prevent such bias, we will focus on recently proposed
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