High-dimensional VAR with low-rank transition (Q2195856)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional VAR with low-rank transition |
scientific article |
Statements
High-dimensional VAR with low-rank transition (English)
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27 August 2020
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high-dimensional time-series forecasting
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vector auto-regressive model (VAR)
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low-rank transition matrix
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model selection
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