Finite-time analysis of vector autoregressive models under linear restrictions
From MaRDI portal
Publication:5022112
DOI10.1093/biomet/asaa065OpenAlexW3081466081MaRDI QIDQ5022112
Publication date: 18 January 2022
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.10197
least squares estimationstochastic regressionempirical process theoryvector autoregressive modelunstable processnon-asymptotic analysis
Related Items (3)
High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition ⋮ Rate-optimal robust estimation of high-dimensional vector autoregressive models ⋮ High-dimensional low-rank tensor autoregressive time series modeling
This page was built for publication: Finite-time analysis of vector autoregressive models under linear restrictions