Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions

DOI10.1080/10618600.2022.2058003MaRDI QIDQ5057240zbMATH OpenOpenAlexFDO

Authors Alain Hecq, Marie Ternes, Ines Wilms

Publication date 16 December 2022

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2102.11780

zbMATH Keywords

coincident indicatorsgroup Lassohigh-dimensionalityvariable selection

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(2)

• Regularized joint estimation of related vector autoregressive models
• Path and directionality discovery in individual dynamic models: a regularized unified structural equation modeling approach for hybrid vector autoregression

Describes a project that uses

Uses Software

• spcov
• rare

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