scientific article; zbMATH DE number 6472996

zbMath1360.62312arXiv1210.3711MaRDI QIDQ5502127

George Michailidis, Sumanta Basu, Ali Shojaie

Publication date: 17 August 2015

Full work available at URL: https://arxiv.org/abs/1210.3711

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

thresholdingGranger causalitygroup lassohigh-dimensional networkspanel vector autoregression model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10) Measures of association (correlation, canonical correlation, etc.) (62H20) Graphical methods in statistics (62A09)

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