Sparse seasonal and periodic vector autoregressive modeling

DOI10.1016/j.csda.2016.09.005zbMath1467.62011OpenAlexW2519148344MaRDI QIDQ1658508

Y. Aharonov

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2016.09.005

zbMATH Keywords

variable selectionsparsityadaptive Lassopartial spectral coherence (PSC)periodic vector autoregressive (PVAR) modelseasonal vector autoregressive (SVAR) model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

High dimensional regression for regenerative time-series: an application to road traffic modeling ⋮ Two sample tests for high-dimensional autocovariances ⋮ Sparse vector heterogeneous autoregressive modeling for realized volatility ⋮ Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information ⋮ Periodic dynamic factor models: estimation approaches and applications

Uses Software

• glasso
• ElemStatLearn

Cites Work

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