Independent block identification in multivariate time series

DOI10.1111/jtsa.12553zbMath1468.62340WikidataQ101496404 ScholiaQ101496404MaRDI QIDQ4997685

Daniela Rodriguez, Magno T. F. Severino, Mariela Sued, Matías Lopez-Rosenfeld, Florencia Leonardi

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12553

zbMATH Keywords

model selection; dimensionality reduction; structure estimation; regularized estimator

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P12: Applications of statistics to environmental and related topics

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

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