Time series graphical Lasso and sparse VAR estimation
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Cites work
- A direct estimation of high dimensional stationary vector autoregressions
- A simple forward selection procedure based on false discovery rate control
- A simple generalized crossvalidation method of span selection for periodogram smoothing
- A study on tuning parameter selection for the high-dimensional lasso
- A test statistic for graphical modelling of multivariate time series
- Alternating direction method of multipliers for separable convex optimization of real functions in complex variables
- An Efficient Approach to Graphical Modeling of Time Series
- Controlling the false discovery rate via knockoffs
- Data-driven shrinkage of the spectral density matrix of a high-dimensional time series
- Distributed optimization and statistical learning via the alternating direction method of multipliers
- Edge Exclusion Tests for Graphical Model Selection: Complex Gaussian Vectors and Time Series
- Gaussian graphical model estimation with false discovery rate control
- GGM Knockoff Filter: False Discovery Rate Control for Gaussian Graphical Models
- Graphical interaction models for multivariate time series.
- Graphical modelling of multivariate time series
- Graphical models of autoregressive processes
- High-dimensional covariance estimation
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- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 720689 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- Introduction to spectral analysis
- Joint estimation of multiple graphical models
- Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data
- More powerful control of the false discovery rate under dependence
- On constrained estimation of graphical time series models
- Oracle inequalities for high dimensional vector autoregressions
- Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
- Regularized estimation in sparse high-dimensional time series models
- Regularized joint estimation of related vector autoregressive models
- Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
- Sequential selection procedures and false discovery rate control
- Sparse inverse covariance estimation with the graphical lasso
- Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
- Spectral analysis of high-dimensional time series
- Stability selection. With discussion and authors' reply
- The control of the false discovery rate in multiple testing under dependency.
- The generalized shrinkage estimator for the analysis of functional connectivity of brain signals
- The Joint Graphical Lasso for Inverse Covariance Estimation Across Multiple Classes
- Time series analysis and its applications. With R examples
Cited in
(21)- Lag weighted lasso for time series model
- Editorial for the special issue on time series analysis
- Authors' reply to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Nuo Xu and Fukang Zhu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- G. Tunnicliffe-Wilson's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Maozai Tian and Tan Meng's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Yanbo Tang's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Alessandra Luati's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Hengxu Liu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Kuldeep Kumar's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- R. Killick, J. Wilson, X. Chen, and R. Lund's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Rajendra Bhansali's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Cristian F. Jiménez-Varón and Marina I. Knight's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Andrej Srakar's contribution to the discussion of `new tools for network time series with an application to Covid-19 hospitalizations' by Nason et al..
- David Hand's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Mirko Armillotta and Konstantinos Fokianos' contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Seconder of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Proposer of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- New tools for network time series with an application to Covid-19 hospitalizations
- Robust and missing-data-aware time-varying graphical lasso(RM-TVGL) for high-dimensional dynamic network estimation
- Diagnostic analystics in the Bayesian vector autoregressive model
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