Time series graphical Lasso and sparse VAR estimation
From MaRDI portal
Publication:2674503
DOI10.1016/j.csda.2022.107557OpenAlexW3177564301MaRDI QIDQ2674503
Mohsen Pourahmadi, Rakheon Kim, Aramayis Dallakyan
Publication date: 14 September 2022
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.01659
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
- Regularized estimation in sparse high-dimensional time series models
- Sparse inverse covariance estimation with the graphical lasso
- Gaussian graphical model estimation with false discovery rate control
- Graphical modelling of multivariate time series
- Data-driven shrinkage of the spectral density matrix of a high-dimensional time series
- Oracle inequalities for high dimensional vector autoregressions
- The generalized shrinkage estimator for the analysis of functional connectivity of brain signals
- Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
- Controlling the false discovery rate via knockoffs
- A simple forward selection procedure based on false discovery rate control
- More powerful control of the false discovery rate under dependence
- On constrained estimation of graphical time series models
- Alternating direction method of multipliers for separable convex optimization of real functions in complex variables
- The control of the false discovery rate in multiple testing under dependency.
- Regularized joint estimation of related vector autoregressive models
- Spectral analysis of high-dimensional time series
- Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
- A simple generalised crossvalidation method of span selection for periodogram smoothing
- Joint estimation of multiple graphical models
- An Efficient Approach to Graphical Modeling of Time Series
- Stability Selection
- A study on tuning parameter selection for the high-dimensional lasso
- The Joint Graphical Lasso for Inverse Covariance Estimation Across Multiple Classes
- GGM Knockoff Filter: False Discovery Rate Control for Gaussian Graphical Models
- Edge Exclusion Tests for Graphical Model Selection: Complex Gaussian Vectors and Time Series
- High‐Dimensional Covariance Estimation
- Sequential Selection Procedures and False Discovery Rate Control
- A test statistic for graphical modelling of multivariate time series
- Graphical interaction models for multivariate time series.
- Performance bounds for parameter estimates of high-dimensional linear models with correlated errors