Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models

Journal of Time Series Analysis ◽

10.1111/jtsa.12586 ◽

2021 ◽

Author(s):

Jonas Krampe ◽

Efstathios Paparoditis

Keyword(s):

Autoregressive Models ◽

High Dimensional ◽

Dimensional Vector ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Estimation Procedures

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Multiple Change Points Detection in Low Rank and Sparse High Dimensional Vector Autoregressive Models

IEEE Transactions on Signal Processing ◽

10.1109/tsp.2020.2993145 ◽

2020 ◽

Vol 68 ◽

pp. 3074-3089

Author(s):

Peiliang Bai ◽

Abolfazl Safikhani ◽

George Michailidis

Keyword(s):

Autoregressive Models ◽

Low Rank ◽

Change Points ◽

High Dimensional ◽

Dimensional Vector ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models

Electronic Journal of Statistics ◽

10.1214/17-ejs1325 ◽

2017 ◽

Vol 11 (2) ◽

pp. 3871-3902 ◽

Cited By ~ 3

Author(s):

Xin Ding ◽

Ziyi Qiu ◽

Xiaohui Chen

Keyword(s):

Transition Matrix ◽

Autoregressive Models ◽

High Dimensional ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Matrix Estimation ◽

Stationary Vector

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Online adaptive lasso estimation in vector autoregressive models for high dimensional wind power forecasting

International Journal of Forecasting ◽

10.1016/j.ijforecast.2018.02.001 ◽

2019 ◽

Vol 35 (4) ◽

pp. 1485-1498 ◽

Cited By ~ 17

Author(s):

Jakob W. Messner ◽

Pierre Pinson

Keyword(s):

Wind Power ◽

Adaptive Lasso ◽

Autoregressive Models ◽

High Dimensional ◽

Vector Autoregressive Models ◽

Wind Power Forecasting ◽

Vector Autoregressive ◽

Power Forecasting

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High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models

Journal of the American Statistical Association ◽

10.1080/01621459.2018.1437043 ◽

2018 ◽

Vol 114 (526) ◽

pp. 735-748 ◽

Cited By ~ 4

Author(s):

Satyajit Ghosh ◽

Kshitij Khare ◽

George Michailidis

Keyword(s):

Autoregressive Models ◽

High Dimensional ◽

Posterior Consistency ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.1326833 ◽

2008 ◽

Cited By ~ 4

Author(s):

Tom Fong ◽

Chun Shan Wong

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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PC-VAR Estimation of Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.2006847 ◽

2012 ◽

Author(s):

Claudio Morana

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Exposing volatility spillovers: A comparative analysis based on vector autoregressive models

Finance Research Letters ◽

10.1016/j.frl.2016.05.002 ◽

2016 ◽

Vol 18 ◽

pp. 302-305 ◽

Cited By ~ 2

Author(s):

Dionisis Philippas ◽

Catalin Dragomirescu-Gaina

Keyword(s):

Comparative Analysis ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Volatility Spillovers

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A Spatial Prior for Bayesian Vector Autoregressive Models

Journal of Regional Science ◽

10.1111/1467-9787.00135 ◽

1999 ◽

Vol 39 (2) ◽

pp. 297-317 ◽

Cited By ~ 30

Author(s):

James P. LeSage ◽

Anna Krivelyova

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Fitting Multilevel Vector Autoregressive Models in Stan, JAGS, and Mplus

Structural Equation Modeling A Multidisciplinary Journal ◽

10.1080/10705511.2021.1911657 ◽

2021 ◽

pp. 1-24

Author(s):

Yanling Li ◽

Julie Wood ◽

Linying Ji ◽

Sy-Miin Chow ◽

Zita Oravecz

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Bootstrap prediction bands for forecast paths from vector autoregressive models

Journal of Forecasting ◽

10.1002/for.1205 ◽

2010 ◽

Vol 30 (8) ◽

pp. 721-735 ◽

Cited By ~ 29

Author(s):

Anna Staszewska-Bystrova

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Prediction Bands

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