Regularized joint estimation of related vector autoregressive models

DOI10.1016/j.csda.2019.05.007OpenAlexW2944887819WikidataQ90444922 ScholiaQ90444922MaRDI QIDQ2002726

Yanyan Li

Publication date: 12 July 2019

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

Full work available at URL: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7079674

zbMATH Keywords

group Lassoregularized estimationvector autoregressionstability selectionattention deficit hyperactivity disorderresting-state fMRI

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (3)

Time series graphical Lasso and sparse VAR estimation ⋮ Joint learning of multiple Granger causal networks via non-convex regularizations: inference of group-level brain connectivity ⋮ Variational Bayesian inference for network autoregression models

Cites Work

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• Stability Selection
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