Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations

DOI10.1111/jtsa.12627OpenAlexW3205070830MaRDI QIDQ5095824

Marcelo C. Medeiros, Ricardo P. Masini, Eduardo F. Mendes

Publication date: 11 August 2022

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

Full work available at URL: https://arxiv.org/abs/1912.09002

zbMATH Keywords

VARmixingLassohigh-dimensional time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Related Items (3)

Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data ⋮ Bridging factor and sparse models ⋮ Lasso Inference for High-Dimensional Time Series

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