Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review (Q6612363)
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scientific article; zbMATH DE number 7920296
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review |
scientific article; zbMATH DE number 7920296 |
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Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review (English)
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30 September 2024
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cointegration
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decomposition of cointegration matrix
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Lasso
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rank selection
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regularisation
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ridge regression
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sparsity
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vector autoregressive models
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