Multivariate stochastic regression in time series modeling

DOI10.5705/SS.2014.211TzbMath1356.62146OpenAlexW2518894338MaRDI QIDQ2828607

Ka Wai Tsang, Tze Leung Lai

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2014.211t

zbMATH Keywords

time seriessparsityrank selectionorthogonal greedy algorithmmultivariate stochastic regression

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Measures of association (correlation, canonical correlation, etc.) (62H20)

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