Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information

DOI10.5705/ss.202020.0056arXiv2012.10030WikidataQ114013841 ScholiaQ114013841MaRDI QIDQ6069868

Zhengyuan Zhu, Abolfazl Safikhani, Unnamed Author, David S. Matteson

Publication date: 17 November 2023

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.10030

zbMATH Keywords

weak sparsityvector autoregressive model\(l_1\) regularizationspatio-temporal structure

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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