A direct estimation of high dimensional stationary vector autoregressions

被引：0
|
作者：
Han, Fang [1 ]
Lu, Huanran [2 ]
Liu, Han [2 ]
机构：
[1] Department of Biostatistics, Johns Hopkins University, Baltimore,MD,21205, United States
[2] Department of Operations Research and Financial Engineering, Princeton University, Princeton,NJ,08544, United States
来源：
Journal of Machine Learning Research | 2015年 / 16卷
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
43
引用
收藏
页码：3115 / 3150
相关论文
共 50 条
  • [31] FORECASTING WITH GENERALIZED BAYESIAN VECTOR AUTOREGRESSIONS
    KADIYALA, KR
    KARLSSON, S
    JOURNAL OF FORECASTING, 1993, 12 (3-4) : 365 - 378
  • [32] LIMIT THEORY IN COINTEGRATED VECTOR AUTOREGRESSIONS
    PHILLIPS, PCB
    TODA, HY
    ECONOMETRIC THEORY, 1993, 9 (01) : 150 - 153
  • [33] An Alternative Bootstrap for Proxy Vector Autoregressions
    Martin Bruns
    Helmut Lütkepohl
    Computational Economics, 2023, 62 : 1857 - 1882
  • [34] ON ROBUST ESTIMATION OF THRESHOLD AUTOREGRESSIONS
    CHAN, WS
    CHEUNG, SH
    JOURNAL OF FORECASTING, 1994, 13 (01) : 37 - 49
  • [35] A convenient representation for structural vector autoregressions
    Breitung J.
    Empirical Economics, 2001, 26 (2) : 447 - 459
  • [36] Bayesian prediction with cointegrated vector autoregressions
    Villani, M
    INTERNATIONAL JOURNAL OF FORECASTING, 2001, 17 (04) : 585 - 605
  • [37] ESTIMATING VECTOR AUTOREGRESSIONS WITH PANEL DATA
    HOLTZEAKIN, D
    NEWEY, W
    ROSEN, HS
    ECONOMETRICA, 1988, 56 (06) : 1371 - 1395
  • [38] Structural vector autoregressions with Markov switching
    Lanne, Markku
    Lutkepohl, Helmut
    Maciejowska, Katarzyna
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2010, 34 (02): : 121 - 131
  • [39] Detecting groups in large vector autoregressions
    Guomundsson, Guomundur Stefan
    Brownlees, Christian
    JOURNAL OF ECONOMETRICS, 2021, 225 (01) : 2 - 26
  • [40] Structural Vector Autoregressions With Nonnormal Residuals
    Lanne, Markku
    Luetkepohl, Helmut
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2010, 28 (01) : 159 - 168
12345