Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations (Q5095824)
From MaRDI portal
scientific article; zbMATH DE number 7570754
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations |
scientific article; zbMATH DE number 7570754 |
Statements
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations (English)
0 references
11 August 2022
0 references
high-dimensional time series
0 references
Lasso
0 references
VAR
0 references
mixing
0 references
0 references
0 references
0 references
