High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood

DOI10.1007/s11222-021-10049-zzbMath1475.62059arXiv2011.01484MaRDI QIDQ2058896

Jukka Corander, Johan Pensar, Ying-Ying Xu, Kimmo Suotsalo

Publication date: 10 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.01484

zbMATH Keywords

multivariate time series; pseudo-likelihood; Gaussian graphical models; vector autoregression; fractional marginal likelihood

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)