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A score test for detecting extreme values in a vector autoregressive model

Authors :
Yonghui Liu
Jing Wang
Dawei Shi
Víctor Leiva
Shuangzhe Liu
Source :
Journal of Statistical Computation and Simulation. :1-29
Publication Year :
2023
Publisher :
Informa UK Limited, 2023.

Subjects

Subjects :
Statistics and Probability
Applied Mathematics
Modeling and Simulation
Statistics, Probability and Uncertainty

Details

ISSN :
15635163 and 00949655
Database :
OpenAIRE
Journal :
Journal of Statistical Computation and Simulation
Accession number :
edsair.doi...........bf107dfac0d00f7c4ec1d60add5d15fb
Full Text :
https://doi.org/10.1080/00949655.2023.2205647
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