Threshold models for high-dimensional time series with network structure
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Cites work
- A bound on the moment generating function of a sum of dependent variables with an application to simple random sampling without replacement
- A counterpart of the Borel-Cantelli lemma
- A review of threshold time series models in finance
- Best constants in martingale version of Rosenthal's inequality
- Change-point estimators with true identification property
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Determining the Number of Factors in Approximate Factor Models
- Economic Predictions With Big Data: The Illusion of Sparsity
- Estimation and Prediction for Stochastic Blockstructures
- Estimation of high dimensional factor model with multiple threshold-type regime shifts
- Estimation of multiple-regime threshold autoregressive models with structural breaks
- Factor modeling for high-dimensional time series: inference for the number of factors
- Forecasting Using Principal Components From a Large Number of Predictors
- Fused Lasso approach in regression coefficients clustering -- learning parameter heterogeneity in data integration
- Grouped network vector autoregression
- High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
- scientific article; zbMATH DE number 3620754 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- Information criterion of seriously over-fitting change-point models
- LASSO estimation of threshold autoregressive models
- Network quantile autoregression
- Network vector autoregression
- On the ergodicity of \(TAR(1)\) processes
- On the least squares estimation of multiple-regime threshold autoregressive models
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- Regularized estimation in sparse high-dimensional time series models
- Shrinkage estimation of multiple threshold factor models
- Spatial dynamic panel data models with interactive fixed effects
- Stochastic Blockmodels for Directed Graphs
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- Testing and Modeling Multivariate Threshold Models
- The Generalized Dynamic Factor Model
- The Kolmogorov-Riesz compactness theorem
- Threshold factor models for high-dimensional time series
- Threshold models in time series analysis -- 30 years on
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