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stat.ME2018★ 5 cited
Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models
Balázs Csanád Csáji
A standard model of (conditional) heteroscedasticity, i.e., the phenomenon that the variance of a process changes over time, is the Generalized AutoRegressive Conditional Heteroske…
stat.ME2015★ 1 cited
Sign-Perturbed Sums (SPS) with Instrumental Variables for the Identification of ARX Systems - Extended Version
Valerio Volpe, Balázs Cs. Csáji, Algo Carè +2
We propose a generalization of the recently developed system identification method called Sign-Perturbed Sums (SPS). The proposed construction is based on the instrumental variable…