VARX-L : structured regularization for large vector autoregressions with exogenous variables
Year of publication: |
July-September 2017
|
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Authors: | Nicholson, William B. ; Matteson, David S. ; Bien, Jacob |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 3, p. 627-651
|
Subject: | Big data | Forecasting | Group lasso | Macroeconometrics | Time series | Theorie | Theory | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model |
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