Large Vector Auto Regressions

20 June 2011

Papers citing "Large Vector Auto Regressions"

11 / 11 papers shown

Title
Benign Overfitting in Time Series Linear Models with Over-Parameterization Shogo H. Nakakita Masaaki Imaizumi AI4TS 36 5 0 18 Apr 2022
A News-based Machine Learning Model for Adaptive Asset Pricing Liao Zhu Haoxuan Wu M. Wells AIFin 18 12 0 13 Jun 2021
Granger Causality: A Review and Recent Advances Ali Shojaie E. Fox CML AI4TS 37 260 0 05 May 2021
Foundations of Sequence-to-Sequence Modeling for Time Series Vitaly Kuznetsov Zelda E. Mariet AI4TS BDL 30 56 0 09 May 2018
Lasso Guarantees for $β$ -Mixing Heavy Tailed Time Series Kam Chung Wong Zifan Li Ambuj Tewari 40 25 0 03 Aug 2017
Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models Xin Ding Ziyi Qiu Xiaohui Chen 53 14 0 14 Apr 2016
Estimating Structured Vector Autoregressive Model Igor Melnyk A. Banerjee 26 53 0 21 Feb 2016
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity Jinyuan Chang Bin Guo Q. Yao 53 55 0 08 Oct 2013
Challenges of Big Data Analysis Jianqing Fan Fang Han Han Liu 76 1,278 0 07 Aug 2013
A Direct Estimation of High Dimensional Stationary Vector Autoregressions Fang Han Huanran Lu Han Liu 73 120 0 01 Jul 2013
Taking Advantage of Sparsity in Multi-Task Learning Karim Lounici Massimiliano Pontil Alexandre B. Tsybakov Sara van de Geer 185 292 0 09 Mar 2009