Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models (Q5012853)
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scientific article; zbMATH DE number 7433900
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| English | Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models |
scientific article; zbMATH DE number 7433900 |
Statements
Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models (English)
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25 November 2021
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Dantzig selector
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Lasso
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sparsity
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vector autoregression
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Yule-Walker estimators
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thresholding
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0.8380874395370483
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0.8159316182136536
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0.8152404427528381
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0.8147020936012268
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0.813442051410675
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