Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data

DOI10.1016/j.jeconom.2023.105520arXiv2108.02864OpenAlexW3192234164MaRDI QIDQ6150502

Etienne Wijler, Hanno Reuvers

Publication date: 6 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.02864

zbMATH Keywords

spatio-temporal modelshigh-dimensionalsatellite dataSPLASHYule-Walker

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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