Vector time series data are widely met in practice. In this paper we propose a multivariate functional-coefficient regression model with heteroscedasticity for modelling such data. A local linear ...

When Gaussian errors are inappropriate in a multivariate linear regression setting, it is often assumed that the errors are iid from a distribution that is a scale mixture of multivariate normals.

Want to understand how multivariate linear regression really works under the hood? In this video, we build it from scratch in C++—no machine learning libraries, just raw code and linear algebra. Ideal ...