Estimation of high-dimensional vector autoregression via sparse precision matrix
Benjamin Poignard and Manabu Asai
| Year of publication: |
2023
|
|---|---|
| Authors: | Poignard, Benjamin ; Asai, Manabu |
| Subject: | Graphical vector autoregression | precision matrix | sparsity | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/ectj/utad003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014319364