High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood

DOI10.1007/s11222-021-10049-zzbMath1475.62059arXiv2011.01484OpenAlexW3097264277MaRDI QIDQ2058896

Jukka Corander, Kimmo Suotsalo, Johan Pensar, Ying-Ying Xu

Publication date: 10 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.01484

zbMATH Keywords

multivariate time seriespseudo-likelihoodGaussian graphical modelsvector autoregressionfractional marginal likelihood

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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