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Estimation of high-dimensional vector autoregression via sparse precision matrix (Q6553126)

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scientific article; zbMATH DE number 7862896
Language Label Description Also known as
English
Estimation of high-dimensional vector autoregression via sparse precision matrix
scientific article; zbMATH DE number 7862896

    Statements

    title
    Estimation of high-dimensional vector autoregression via sparse precision matrix (English)
    0 references
    author
    Benjamin Poignard
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    Manabu Asai
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    publication date
    11 June 2024
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    zbMATH Keywords
    graphical vector autoregression
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    precision matrix
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    sparsity
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    Identifiers

    zbMATH DE Number
    7862896
    0 references
    DOI
    10.1093/ECTJ/UTAD003
    0 references
     
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