Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models (Q4969185)
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scientific article; zbMATH DE number 7255148
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| English | Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models |
scientific article; zbMATH DE number 7255148 |
Statements
5 October 2020
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model identifiability
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compactness
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low-rank plus sparse decomposition
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finite-sample bounds
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0.7421326637268066
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0.737614095211029
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0.7324731349945068
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0.7289011478424072
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0.7284238338470459
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