Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions

DOI10.1080/10618600.2022.2058003OpenAlexW3157980664MaRDI QIDQ5057240

Ines Wilms, Alain Hecq, Marie Ternes

Publication date: 16 December 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.11780

zbMATH Keywords

variable selectiongroup Lassohigh-dimensionalitycoincident indicators

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• spcov
• rare

Cites Work

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