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A Direct Estimation of High Dimensional Stationary Vector
  Autoregressions
v1v2v3 (latest)

A Direct Estimation of High Dimensional Stationary Vector Autoregressions

Journal of machine learning research (JMLR), 2013
1 July 2013
Fang Han
Huanran Lu
Han Liu
ArXiv (abs)PDFHTML

Papers citing "A Direct Estimation of High Dimensional Stationary Vector Autoregressions"

28 / 28 papers shown
Symmetric Linear Dynamical Systems are Learnable from Few Observations
Symmetric Linear Dynamical Systems are Learnable from Few Observations
Minh Vu
Andrey Lokhov
Marc Vuffray
173
0
0
05 Dec 2025
On the modelling and prediction of high-dimensional functional time
  series
On the modelling and prediction of high-dimensional functional time series
Jinyuan Chang
Qin Fang
Xinghao Qiao
Qiwei Yao
AI4TS
295
14
0
02 Jun 2024
fnets: An R Package for Network Estimation and Forecasting via
  Factor-Adjusted VAR Modelling
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR ModellingThe R Journal (JR), 2023
Dominic Owens
Haeran Cho
M. Barigozzi
420
2
0
27 Jan 2023
Benign Overfitting in Time Series Linear Models with Over-Parameterization
Benign Overfitting in Time Series Linear Models with Over-Parameterization
Shogo H. Nakakita
Masaaki Imaizumi
AI4TS
695
6
0
18 Apr 2022
Flexible Bayesian Product Mixture Models for Vector Autoregressions
Flexible Bayesian Product Mixture Models for Vector Autoregressions
Suprateek Kundu
Joshua Lukemire
226
5
0
16 Nov 2021
A Bernstein-type Inequality for High Dimensional Linear Processes with
  Applications to Robust Estimation of Time Series Regressions
A Bernstein-type Inequality for High Dimensional Linear Processes with Applications to Robust Estimation of Time Series Regressions
Linbo Liu
Danna Zhang
AI4TS
338
2
0
21 Sep 2021
Time Series Graphical Lasso and Sparse VAR Estimation
Time Series Graphical Lasso and Sparse VAR Estimation
Aramayis Dallakyan
Rakheon Kim
Mohsen Pourahmadi
AI4TS
271
16
0
04 Jul 2021
Minimax Estimation of Partially-Observed Vector AutoRegressions
Minimax Estimation of Partially-Observed Vector AutoRegressions
Guillaume Dalle
Yohann De Castro
259
0
0
17 Jun 2021
High-Dimensional Low-Rank Tensor Autoregressive Time Series Modeling
High-Dimensional Low-Rank Tensor Autoregressive Time Series ModelingJournal of Econometrics (JE), 2021
Di Wang
Yao Zheng
Guodong Li
AI4TS
285
54
0
12 Jan 2021
Statistical Inference for High-Dimensional Vector Autoregression with
  Measurement Error
Statistical Inference for High-Dimensional Vector Autoregression with Measurement ErrorStatistica sinica (SS), 2020
Xiang Lyu
Jian Kang
Lexin Li
323
2
0
17 Sep 2020
Structural Inference in Sparse High-Dimensional Vector Autoregressions
Structural Inference in Sparse High-Dimensional Vector AutoregressionsJournal of Econometrics (J. Econometrics), 2020
J. Krampe
E. Paparoditis
Carsten Trenkler
433
11
0
30 Jul 2020
Statistical Estimation of High-Dimensional Vector Autoregressive Models
Statistical Estimation of High-Dimensional Vector Autoregressive Models
J. Krampe
E. Paparoditis
115
1
0
09 Jun 2020
On Consistency and Sparsity for High-Dimensional Functional Time Series
  with Application to Autoregressions
On Consistency and Sparsity for High-Dimensional Functional Time Series with Application to AutoregressionsBernoulli (Bernoulli), 2020
Shaojun Guo
Xinghao Qiao
AI4TS
256
16
0
23 Mar 2020
Bayesian Temporal Factorization for Multidimensional Time Series
  Prediction
Bayesian Temporal Factorization for Multidimensional Time Series PredictionIEEE Transactions on Pattern Analysis and Machine Intelligence (TPAMI), 2019
Xinyu Chen
Lijun Sun
AI4TS
255
280
0
14 Oct 2019
Localizing Changes in High-Dimensional Vector Autoregressive Processes
Localizing Changes in High-Dimensional Vector Autoregressive Processes
Daren Wang
Yi Yu
Alessandro Rinaldo
Rebecca Willett
390
24
0
12 Sep 2019
A Survey on Multi-output Learning
A Survey on Multi-output Learning
Donna Xu
Yaxin Shi
Ivor W. Tsang
Yew-Soon Ong
Chen Gong
Xiaobo Shen
201
6
0
02 Jan 2019
A General Theory for Large-Scale Curve Time Series via Functional
  Stability Measure
A General Theory for Large-Scale Curve Time Series via Functional Stability Measure
Shaojun Guo
Xinghao Qiao
285
3
0
18 Dec 2018
Testing for high-dimensional network parameters in auto-regressive
  models
Testing for high-dimensional network parameters in auto-regressive models
Lili Zheng
Garvesh Raskutti
213
18
0
10 Dec 2018
Finite Time Analysis of Vector Autoregressive Models under Linear
  Restrictions
Finite Time Analysis of Vector Autoregressive Models under Linear Restrictions
Yao Zheng
Guang Cheng
403
16
0
26 Nov 2018
On testing for high-dimensional white noise
On testing for high-dimensional white noise
Zeng Li
Clifford Lam
Jianfeng Yao
Q. Yao
255
47
0
10 Aug 2018
Foundations of Sequence-to-Sequence Modeling for Time Series
Foundations of Sequence-to-Sequence Modeling for Time Series
Vitaly Kuznetsov
Zelda E. Mariet
AI4TSBDL
300
63
0
09 May 2018
Lasso Guarantees for $ β$-Mixing Heavy Tailed Time Series
Lasso Guarantees for $ β$-Mixing Heavy Tailed Time Series
Kam Chung Wong
Zifan Li
Ambuj Tewari
347
30
0
03 Aug 2017
Sparse transition matrix estimation for high-dimensional and locally
  stationary vector autoregressive models
Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
Xin Ding
Ziyi Qiu
Xiaohui Chen
547
14
0
14 Apr 2016
Estimating Structured Vector Autoregressive Model
Estimating Structured Vector Autoregressive Model
Igor Melnyk
A. Banerjee
296
60
0
21 Feb 2016
A Unified Theory of Confidence Regions and Testing for High Dimensional
  Estimating Equations
A Unified Theory of Confidence Regions and Testing for High Dimensional Estimating Equations
Matey Neykov
Y. Ning
Jun S. Liu
Han Liu
451
79
0
30 Oct 2015
Regularized estimation of linear functionals of precision matrices for
  high-dimensional time series
Regularized estimation of linear functionals of precision matrices for high-dimensional time seriesIEEE Transactions on Signal Processing (IEEE TSP), 2015
Xiaohui Chen
Mengyu Xu
Wei Biao Wu
418
27
0
11 Jun 2015
Robust Inference of Risks of Large Portfolios
Robust Inference of Risks of Large Portfolios
Jianqing Fan
Fang Han
Han Liu
Byron Vickers
290
10
0
10 Jan 2015
Nonconvex Statistical Optimization: Minimax-Optimal Sparse PCA in
  Polynomial Time
Nonconvex Statistical Optimization: Minimax-Optimal Sparse PCA in Polynomial Time
Zhaoran Wang
Huanran Lu
Han Liu
367
37
0
22 Aug 2014
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