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In this article, a semiparametric time-varying nonlinear vector autoregressive (NVAR) model is proposed to model nonlinear vector time series data. We consider a combination of parametric and ...
Zifeng Zhao, Zhengjun Zhang, Semiparametric dynamic max-copula model for multivariate time series, Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 2 (MARCH ...
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