High dimensional forecasting via interpretable vector autoregression
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Cites work
- A canonical analysis of multiple time series
- A direct estimation of high dimensional stationary vector autoregressions
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- A lasso for hierarchical interactions
- A note on the Lasso and related procedures in model selection
- Bayesian compressed vector autoregressions
- Determining the Number of Factors in Approximate Factor Models
- Dynamic orthogonal components for multivariate time series
- Estimation of a structural vector autoregression model using non-Gaussianity
- Estimation of parameters and eigenmodes of multivariate autoregressive models
- Fitting autoregressive models for prediction
- Forecasting Using Principal Components From a Large Number of Predictors
- Generation Of Time Series Models With Given Spectral Properties
- Group regularized estimation under structural hierarchy
- Hierarchical sparse modeling: a choice of two group Lasso formulations
- scientific article; zbMATH DE number 4135256 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 6253954 (Why is no real title available?)
- Lag length estimation in large dimensional systems
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- Large time-varying parameter VARs
- Learning local dependence in ordered data
- Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions
- Model Selection and Estimation in Regression with Grouped Variables
- Proximal methods for hierarchical sparse coding
- Regression and time series model selection in small samples
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Regularized estimation in sparse high-dimensional time series models
- Relaxed Lasso
- Selection in VAR-models using equal and unequal lag-length procedures
- Structured sparsity through convex optimization
- Structured variable selection with sparsity-inducing norms
- Subset selection for vector autoregressive processes using Lasso
- The Generalized Dynamic Factor Model
- The Model Confidence Set
- Theoretical properties of the overlapping groups Lasso
- Variable selection using adaptive nonlinear interaction structures in high dimensions
Cited in
(21)- Hierarchical sparse modeling: a choice of two group Lasso formulations
- Confidence intervals for parameters in high-dimensional sparse vector autoregression
- High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- The EAS approach for graphical selection consistency in vector autoregression models
- Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information
- Collective Anomaly Detection in High-Dimensional Var Models
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Explainable AI for operational research: a defining framework, methods, applications, and a research agenda
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- Penalized Estimation of Sparse Markov Regime-Switching Vector Auto-Regressive Models
- Simultaneous estimation of stable parameters for multiple autoregressive processes from datasets of nonuniform sizes
- Discovering the Network Granger Causality in Large Vector Autoregressive Models
- Simultaneous estimation and group identification for network vector autoregressive model with heterogeneous nodes
- Supervised factor modeling for high-dimensional linear time series
- An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series
- Applying non-negative matrix factorization with covariates to multivariate time series data as a vector autoregression model
- Mixture matrix-valued autoregressive model
- On subset least squares estimation and prediction in vector autoregressive models with exogenous variables
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