Random Forest Variable Selection for Sparse Vector Autoregressive Models
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Publication:5048325
DOI10.1007/978-3-030-56219-9_1OpenAlexW3108173994MaRDI QIDQ5048325
Publication date: 16 November 2022
Published in: Contributions to Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-56219-9_1
Uses Software
Cites Work
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- Regularized estimation in sparse high-dimensional time series models
- Model reduction methods for vector autoregressive processes.
- On constrained estimation of graphical time series models
- Bayesian compressed vector autoregressions
- Bayesian nonparametric sparse VAR models
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- Variable selection in time series forecasting using random forests
- Modeling Financial Time Series with S-PLUS®
- Random forests
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