Corrections to “Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions” [Mar 19 1207-1222]

DOI10.1109/TSP.2019.2900083MaRDI QIDQ4631486zbMATH OpenFDO

Authors Sumanta Basu, Xianqi Li, George Michailidis

Publication date 29 March 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2019.2900083

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(4)

• Corrigendum to ``Bayesian reduced rank regression in econometrics
• Corrections to “Diffusion LMS With Correlated Regressors I: Realization-Wise Stability” [Nov 16, no. 21, 5473-5484]
• ‘On the degrees of freedom of reduced-rank estimators in multivariate regression’
• Corrigendum to: ``On matricial measures of dependence in vector ARCH models with applications to diagnostic checking

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