Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models

DOI10.1111/jtsa.12586zbMath1476.62187arXiv2006.05345OpenAlexW3136991221MaRDI QIDQ5012853

Efstathios Paparoditis, Jonas Krampe

Publication date: 25 November 2021

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

Full work available at URL: https://arxiv.org/abs/2006.05345

zbMATH Keywords

thresholdingsparsityDantzig selectorLassovector autoregressionYule-Walker estimators

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)

Related Items (2)

Inverse covariance operators of multivariate nonstationary time series ⋮ Structural inference in sparse high-dimensional vector autoregressions

Cites Work

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