Independent block identification in multivariate time series

DOI10.1111/jtsa.12553zbMath1468.62340OpenAlexW3043733496WikidataQ101496404 ScholiaQ101496404MaRDI QIDQ4997685

Daniela Rodriguez, Magno T. F. Severino, Mariela Sued, Matías Lopez-Rosenfeld, Florencia Leonardi

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12553

zbMATH Keywords

model selectiondimensionality reductionstructure estimationregularized estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Structure recovery for partially observed discrete Markov random fields on graphs under not necessarily positive distributions

Cites Work

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