Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
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Cites work
- A unified framework for high-dimensional analysis of M-estimators with decomposable regularizers
- Asymptotic properties of estimators for autoregressive models with errors in variables
- Bulk universality for generalized Wigner matrices
- Estimation of (near) low-rank matrices with noise and high-dimensional scaling
- Forecasting Using Principal Components From a Large Number of Predictors
- High-dimensional regression with noisy and missing data: provable guarantees with nonconvexity
- scientific article; zbMATH DE number 3136275 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Latent variable graphical model selection via convex optimization
- Learning High-Dimensional Generalized Linear Autoregressive Models
- Measurement errors in dynamic models
- Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Regularized estimation in sparse high-dimensional time series models
- Restricted strong convexity and weighted matrix completion: optimal bounds with noise
- Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
- Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
Cited in
(10)- Regularized joint estimation of related vector autoregressive models
- High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood
- Finite sample theory for high-dimensional functional/scalar time series with applications
- Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
- FECM based measurement of aggregate financing to the real economy influence on macro economy
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series
- Minimax estimation of partially-observed vector autoregressions
- Envelope Matrix Autoregressive Models
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