A Direct Estimation of High Dimensional Stationary Vector Autoregressions

1 July 2013

Papers citing "A Direct Estimation of High Dimensional Stationary Vector Autoregressions"

8 / 8 papers shown

Title
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling Dominic Owens Haeran Cho M. Barigozzi 38 1 0 27 Jan 2023
Benign Overfitting in Time Series Linear Models with Over-Parameterization Shogo H. Nakakita Masaaki Imaizumi AI4TS 27 5 0 18 Apr 2022
A Bernstein-type Inequality for High Dimensional Linear Processes with Applications to Robust Estimation of Time Series Regressions Linbo Liu Danna Zhang AI4TS 40 1 0 21 Sep 2021
Bayesian Temporal Factorization for Multidimensional Time Series Prediction Xinyu Chen Lijun Sun AI4TS 10 205 0 14 Oct 2019
Foundations of Sequence-to-Sequence Modeling for Time Series Vitaly Kuznetsov Zelda E. Mariet AI4TS BDL 23 56 0 09 May 2018
Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models Xin Ding Ziyi Qiu Xiaohui Chen 35 14 0 14 Apr 2016
Discovering Graphical Granger Causality Using the Truncating Lasso Penalty Ali Shojaie George Michailidis CML 68 214 0 03 Jul 2010
Autoregressive Process Modeling via the Lasso Procedure Yuval Nardi Alessandro Rinaldo 68 157 0 08 May 2008