Learning High-Dimensional Generalized Linear Autoregressive Models

DOI10.1109/TIT.2018.2884673zbMATH Open1432.62228OpenAlexW2903470116WikidataQ91992351 ScholiaQ91992351MaRDI QIDQ5223939FDOQ5223939

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
• Title not available (Why is that?)
• 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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