Finite-time analysis of vector autoregressive models under linear restrictions

DOI10.1093/BIOMET/ASAA065OpenAlexW3081466081MaRDI QIDQ5022112FDOQ5022112

Authors: Yao Zheng, Guang Cheng 

Publication date: 18 January 2022

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.10197

zbMATH Keywords

stochastic regressionvector autoregressive modelleast squares estimationempirical process theoryunstable processnon-asymptotic analysis

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (4)

• Finite Time Analysis of Vector Autoregressive Models under Linear Restrictions
• High-dimensional low-rank tensor autoregressive time series modeling
• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• Rate-optimal robust estimation of high-dimensional vector autoregressive models

This page was built for publication: Finite-time analysis of vector autoregressive models under linear restrictions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5022112)