Learning High-Dimensional Generalized Linear Autoregressive Models

DOI10.1109/TIT.2018.2884673MaRDI QIDQ5223939zbMATH OpenOpenAlexWikidataFDO

Authors Eric C. Hall, Garvesh Raskutti, Rebecca Willett

Publication date 19 July 2019

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2018.2884673

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Cited in

(12)

• High dimensional generalized linear models for temporal dependent data
• Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
• An optimal statistical and computational framework for generalized tensor estimation
• Softplus INGARCH Model
• The EAS approach for graphical selection consistency in vector autoregression models
• Statistical analysis of multivariate discrete-valued time series
• High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood
• Detecting Abrupt Changes in High-Dimensional Self-Exciting Poisson Processes
• scientific article; zbMATH DE number 7626731 (Why is no real title available?)
• Transfer Learning under High-dimensional Generalized Linear Models
• The Convex Mixture Distribution: Granger Causality for Categorical Time Series
• A new large-scale learning algorithm for generalized additive models

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