Regularized estimation of high-dimensional factor-augmented vector autoregressive (favar) models

被引:0
|
作者
Lin, Jiahe [1 ]
Michailidis, George [2 ]
机构
[1] Lin, Jiahe
[2] Michailidis, George
来源
| 1600年 / Microtome Publishing卷 / 21期
关键词
D O I
暂无
中图分类号
学科分类号
摘要
引用
收藏
相关论文
共 50 条
  • [41] ESTIMATION OF HIGH-DIMENSIONAL CONNECTIVITY IN FMRI DATA VIA SUBSPACE AUTOREGRESSIVE MODELS
    Ting, Chee-Ming
    Seghouane, Abd-Krim
    Salleh, Sh-Hussain
    2016 IEEE STATISTICAL SIGNAL PROCESSING WORKSHOP (SSP), 2016,
  • [42] Bootstrapping factor-augmented regression models
    Goncalves, Silvia
    Perron, Benoit
    JOURNAL OF ECONOMETRICS, 2014, 182 (01) : 156 - 173
  • [43] REGULARIZED RANK-BASED ESTIMATION OF HIGH-DIMENSIONAL NONPARANORMAL GRAPHICAL MODELS
    Xue, Lingzhou
    Zou, Hui
    ANNALS OF STATISTICS, 2012, 40 (05): : 2541 - 2571
  • [44] Identifying factor-augmented vector autoregression models via changes in shock variances
    Yamamoto, Yohei
    Hara, Naoko
    JOURNAL OF APPLIED ECONOMETRICS, 2022, 37 (04) : 722 - 745
  • [45] Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor-Augmented Vector Autoregressive Approach
    Grant, Everett
    Yung, Julieta
    JOURNAL OF APPLIED ECONOMETRICS, 2025, 40 (02) : 111 - 130
  • [46] Smoothed Quantile Regression with Factor-Augmented Regularized Variable Selection for High Correlated Data
    Zhang, Yongxia
    Wang, Qi
    Tian, Maozai
    MATHEMATICS, 2022, 10 (16)
  • [47] Sparse and Low-bias Estimation of High Dimensional Vector Autoregressive Models
    Ruiz, Trevor
    Bhattacharyya, Sharmodeep
    Balasubramanian, Mahesh
    Bouchard, Kristofer
    LEARNING FOR DYNAMICS AND CONTROL, VOL 120, 2020, 120 : 55 - 64
  • [48] Estimation of Constrained Factor Models for High-Dimensional Time Series
    Liu, Yitian
    Pan, Jiazhu
    Xia, Qiang
    JOURNAL OF FORECASTING, 2025,
  • [49] Regularized covariance matrix estimation in high dimensional approximate factor models
    Zhang, Jing
    Guo, Shaojun
    STATISTICS & PROBABILITY LETTERS, 2024, 207
  • [50] Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
    Cheng, Xu
    Liao, Zhipeng
    Schorfheide, Frank
    REVIEW OF ECONOMIC STUDIES, 2016, 83 (04): : 1511 - 1543