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Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations - MaRDI portal

Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations (Q6331402)

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scientific article; zbMATH DE number 7570754
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English
Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations
scientific article; zbMATH DE number 7570754

    Statements

    publication date
    18 December 2019
    0 references
    arXiv classification
    math.ST
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    econ.EM
    0 references
    stat.ML
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    stat.TH
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    author
    Ricardo P. Masini
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    Marcelo C. Medeiros
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    Eduardo F. Mendes
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    Identifiers

    arXiv ID
    1912.09002
    0 references
    zbMATH DE Number
    7570754
    0 references
    DOI
    10.1111/JTSA.12627
    0 references
     
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