Stress testing network reconstruction via graphical causal model

DOI10.1002/ASMB.2544MaRDI QIDQ6579512zbMATH OpenFDO

Authors Helder Rojas, David P. Dias

Publication date 25 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2544

zbMATH Keywords

graphical causalitynetwork reconstructionregularization methodsstress testing

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Graphical modelling of multivariate time series
• High-dimensional graphs and variable selection with the Lasso
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 6438182 (Why is no real title available?)
• Regularization and Variable Selection Via the Elastic Net
• Regularized estimation in sparse high-dimensional time series models
• Transmission of macroeconomic shocks to risk parameters: their uses in stress testing
• Weighted-LASSO for structured network inference from time course data

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