VARX-L: Structured regularization for large vector autoregressions with exogenous variables

DOI10.1016/j.ijforecast.2017.01.003MaRDI QIDQ82103

David Matteson, Jacob Bien, William B. Nicholson

Publication date: July 2017

Published in: International Journal of Forecasting (Search for Journal in Brave)

Related Items

BigVAR