Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
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Cited in
(21)- Finite time identification in unstable linear systems
- Regularized joint estimation of related vector autoregressive models
- Bootstrap based inference for sparse high-dimensional time series models
- Confidence intervals for parameters in high-dimensional sparse vector autoregression
- Finite sample theory for high-dimensional functional/scalar time series with applications
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- Optimal rank-based tests for block exogeneity in vector autoregressions
- Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
- Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models
- Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
- High dimensional forecasting via interpretable vector autoregression
- High-dimensional posterior consistency in Bayesian vector autoregressive models
- The EAS approach for graphical selection consistency in vector autoregression models
- Collective Anomaly Detection in High-Dimensional Var Models
- Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
- Simultaneous Decorrelation of Matrix Time Series
- Discovering the Network Granger Causality in Large Vector Autoregressive Models
- Envelope Matrix Autoregressive Models
- Determination of the Effective Cointegration Rank in High-Dimensional Time-Series Predictive Regressions
- Strong selection consistency of Bayesian vector autoregressive models based on a pseudo-likelihood approach
- Lasso-driven inference in time and space
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