Reduced-Rank Envelope Vector Autoregressive Model
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Cites work
- scientific article; zbMATH DE number 4135256 (Why is no real title available?)
- scientific article; zbMATH DE number 47995 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- scientific article; zbMATH DE number 3223314 (Why is no real title available?)
- A Review of Envelope Models
- A canonical analysis of multiple time series
- A characterization of vector autoregressive processes with common cyclical features
- A semiparametric approach for modelling multivariate nonlinear time series
- A state-space approach to time-varying reduced-rank regression
- Asymptotic Theory of Overparameterized Structural Models
- Asymptotic distribution of the reduced rank regression estimator under general conditions
- Canonical correlation analysis and reduced rank regression in autoregressive models
- Canonical correlation for principal components of time series
- Common cyclical features analysis in VAR models with cointegration
- Convex regularization for high-dimensional multiresponse tensor regression
- Dimension reduction for the conditional mean and variance functions in time series
- Dynamic conditional eigenvalue GARCH
- Envelope models for parsimonious and efficient multivariate linear regression
- Envelopes and Partial Least Squares Regression
- Envelopes and reduced-rank regression
- Envelopes for elliptical multivariate linear regression
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
- Estimation of (near) low-rank matrices with noise and high-dimensional scaling
- Factor modeling for high-dimensional time series: inference for the number of factors
- Fast envelope algorithms
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Foundations for envelope models and methods
- Generalized spectral tests for the martingale difference hypothesis
- Heteroscedastic modelling via the autoregressive conditional variance subspace
- High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
- Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
- Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions
- Matrix Variate Regressions and Envelope Models
- Multivariate Reduced-Rank Regression
- Multivariate reduced-rank regression
- Multivariate time series analysis and applications
- Multivariate time series analysis. With R and financial applications
- New parsimonious multivariate spatial model: spatial envelope
- Partial envelopes for efficient estimation in multivariate linear regression
- Rank estimation in reduced-rank regression
- Reduced rank models for multiple time series
- Reduced rank regression via adaptive nuclear norm penalization
- Reduced-rank regression for the multivariate linear model
- Semiparametric regression estimation for longitudinal data in models with martingale difference error's structure
- Sparse envelope model: efficient estimation and response variable selection in multivariate linear regression
- Structural analysis with multivariate autoregressive index models
- Testing for common autocorrelation in data-rich environments
- Testing the martingale difference hypothesis in high dimension
- The Generalized Dynamic Factor Model
- The Stationary Bootstrap
- Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
- Vector autoregression and envelope model
Cited in
(6)- Supervised factor modeling for high-dimensional linear time series
- Groupwise scaled partial envelope model with advantageous scale invariant
- Partial Envelope and Reduced-Rank Partial Envelope Vector Autoregressive Models
- Hypothesis test in high dimensional multi-response linear models
- Scaled envelope models for multivariate time series
- Dimension reduction in vector autoregressive models for macroeconomic applications
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