Directed graphs and variable selection in large vector autoregressive models

DOI10.1111/jtsa.12664OpenAlexW2759172196WikidataQ114079555 ScholiaQ114079555MaRDI QIDQ6135342

Unnamed Author, Christian Kascha, Ralf Brüggemann

Publication date: 24 August 2023

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

Full work available at URL: https://doi.org/10.1111/jtsa.12664

zbMATH Keywords

directed graphsvariable selectionvector autoregressionimpulse response analysismulti-step causality

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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