A closed-form moment estimator for the vector multiplicative error model and its application

Lu, WB; Wang, YF; Li, JG; Ke, R

Lu, WB (reprint author), Southwestern Univ Finance & Econ, Sch Stat, Chengdu, Sichuan, Peoples R China.

QUALITY TECHNOLOGY AND QUANTITATIVE MANAGEMENT, 2019; 16 (2): 200

Abstract

The vector multiplicative error model (vMEM) is a popular model known for its capability of analyzing and forecasting multidimensional non-negative-va......

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