High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition

DOI10.1080/01621459.2020.1855183zbMath1506.62373arXiv1909.06624OpenAlexW3107841493MaRDI QIDQ5881139

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Publication date: 9 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.06624

zbMATH Keywords

variable selectionfactor modelhigh-dimensional time seriesreduced-rank regressionTucker decomposition

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Computational aspects of data analysis and big data (68T09)

Related Items (3)

Rate-optimal robust estimation of high-dimensional vector autoregressive models ⋮ Bipartite network influence analysis of a two-mode network ⋮ High-dimensional low-rank tensor autoregressive time series modeling

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