Model reduction methods for vector autoregressive processes.

MaRDI QIDQ1420347zbMATH OpenFDO

Authors Ralf Brüggemann

Publication date 1 February 2004

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

economic time seriesvector autoregressive processmodel reductionVAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Parametric inference under constraints (62F30) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Recommendations

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• scientific article; zbMATH DE number 1122623

Cited in

(7)

• Structural vector autoregressive analysis
• Structural analysis with multivariate autoregressive index models
• Forecast mean squared error reduction in the VAR(1) process
• Random Forest Variable Selection for Sparse Vector Autoregressive Models
• Subset selection for vector autoregressive processes using Lasso
• The relation of the CCA subspace method to a balanced reduction of an autoregressive model.
• Vector autoregression and envelope model

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• PcGets

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