Random Forest Variable Selection for Sparse Vector Autoregressive Models

DOI10.1007/978-3-030-56219-9_1MaRDI QIDQ5048325zbMATH OpenOpenAlexFDO

Authors Dmitry Pavlyuk

Publication date 16 November 2022

Published in Contributions to Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-56219-9_1

zbMATH Keywords

feature selectionmultivariate time seriesbig dataspatiotemporal modelurban traffic forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• Bayesian compressed vector autoregressions
• Bayesian nonparametric sparse VAR models
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Model reduction methods for vector autoregressive processes.
• Modeling Financial Time Series with S-PLUS®
• On constrained estimation of graphical time series models
• Random forests
• Regularized estimation in sparse high-dimensional time series models
• Variable selection in time series forecasting using random forests

Describes a project that uses

Uses Software

• StFinMetrics
• VSURF
• GeneSrF
• Boruta

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