Sparse causality network retrieval from short time series

DOI10.1155/2017/4518429zbMath1378.62055arXiv1706.01954OpenAlexW2754062614MaRDI QIDQ1687426

Tomaso Aste, Tiziana Di Matteo

Publication date: 3 January 2018

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.01954

zbMATH Keywords

regularizationmultivariate linear processsparse causality structuretime series of short lengths

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear systems in control theory (93C05)

Related Items (3)

A clustering-based portfolio strategy incorporating momentum effect and market trend prediction ⋮ Sparse inverse covariance matrix estimation via the $ \newcommand{\e}{{\rm e}} \ell_{0}$ -norm with Tikhonov regularization ⋮ Forecasting market states

Uses Software

• glasso
• scout

Cites Work

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