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Estimation of high-dimensional vector autoregression via sparse precision matrix - MaRDI portal

Estimation of high-dimensional vector autoregression via sparse precision matrix

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Publication:6553126

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DOI10.1093/ECTJ/UTAD003MaRDI QIDQ6553126

Manabu Asai, Benjamin Poignard

Publication date: 11 June 2024

Published in: Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

sparsity precision matrix graphical vector autoregression

Mathematics Subject Classification ID

Statistics (62-XX)

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