High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition (Q5881139)

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scientific article; zbMATH DE number 7661432
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High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
scientific article; zbMATH DE number 7661432

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    High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition (English)
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    9 March 2023
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    factor model
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    high-dimensional time series
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    reduced-rank regression
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    Tucker decomposition
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    variable selection
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