Multivariate stochastic regression in time series modeling

DOI10.5705/SS.2014.211TMaRDI QIDQ2828607zbMATH OpenOpenAlexFDO

Authors Tze Leung Lai, Ka Wai Tsang

Publication date 26 October 2016

Published in Statistica Sinica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.2014.211t

zbMATH Keywords

multivariate stochastic regressionorthogonal greedy algorithmrank selectionsparsitytime series

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
• A tv-IVAR model for multivariate irregular time series
• Regularization for stationary multivariate time series
• Multivariate Temporal Point Process Regression

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