Estimation of high-dimensional vector autoregression via sparse precision matrix

DOI10.1093/ECTJ/UTAD003MaRDI QIDQ6553126zbMATH OpenFDO

Authors Benjamin Poignard, Manabu Asai

Publication date 11 June 2024

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ECTJ/UTAD003

zbMATH Keywords

graphical vector autoregressionprecision matrixsparsity

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(1)

• Maximum a posteriori estimation in graphical models using local linear approximation

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