Spatially multi-scale dynamic factor modeling via sparse estimation

DOI10.1142/S2661335219500059zbMath1467.62125OpenAlexW3008188882MaRDI QIDQ4997083

Shotaro Akaho, Takamitsu Araki

Publication date: 28 June 2021

Published in: International Journal of Mathematics for Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2661335219500059

zbMATH Keywords

EM algorithmdynamic factor modelblock coordinate descent algorithmadaptive graph Lassospatially multiscale structure

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Ridge regression; shrinkage estimators (Lasso) (62J07) Probabilistic graphical models (62H22)

Uses Software

• R-INLA
• Stem
• spTimer

Cites Work

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• Spatial dynamic factor analysis
• Spatial and Spatio‐temporal Bayesian Models with R‐INLA
• Model Selection and Estimation in Regression with Grouped Variables
• The Estimation of Prediction Error
• Elements of multivariate time series analysis

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