Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions

DOI10.1109/TSP.2018.2887401zbMath1415.94051arXiv1812.03568WikidataQ128644737 ScholiaQ128644737MaRDI QIDQ4628274

Sumanta Basu, Xianqi Li, George Michailidis

Publication date: 6 March 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.03568

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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