Time series graphical Lasso and sparse VAR estimation

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

zbMATH Keywords

FDRsparse vector autoregressiontime series graphical models

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Editorial for the special issue on time series analysis

Uses Software

• glasso
• astsa

Cites Work

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