Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages

DOI10.1080/01621459.2021.1942013zbMath1514.62176arXiv1707.09208OpenAlexW3166386823MaRDI QIDQ6107231

Jacob Bien, Ines Wilms, David S. Matteson, Sumanta Basu

Publication date: 3 July 2023

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

Full work available at URL: https://arxiv.org/abs/1707.09208

zbMATH Keywords

forecastingidentifiabilitymultivariate time seriessparse estimationVARMA

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

Spectral analysis of high-dimensional time series

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