Estimation of banded time-varying precision matrix based on SCAD and group Lasso (Q6071705)
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scientific article; zbMATH DE number 7771441
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of banded time-varying precision matrix based on SCAD and group Lasso |
scientific article; zbMATH DE number 7771441 |
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Estimation of banded time-varying precision matrix based on SCAD and group Lasso (English)
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28 November 2023
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Cholesky decomposition
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Kalman filter
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multivariate GARCH model
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structured sparsity
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high-dimensional
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