Estimation of high-dimensional vector autoregression via sparse precision matrix
Year of publication: |
2023
|
---|---|
Authors: | Poignard, Benjamin ; Asai, Manabu |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 26.2023, 2, p. 307-326
|
Subject: | Graphical vector autoregression | precision matrix | sparsity |
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