A Direct Estimation of High Dimensional Stationary Vector
Autoregressions

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A Direct Estimation of High Dimensional Stationary Vector Autoregressions

1 July 2013

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

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Title
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling Dominic Owens Haeran Cho M. Barigozzi 76 1 0 27 Jan 2023
Benign Overfitting in Time Series Linear Models with Over-Parameterization Shogo H. Nakakita Masaaki Imaizumi AI4TS 287 5 0 18 Apr 2022
A Bernstein-type Inequality for High Dimensional Linear Processes with Applications to Robust Estimation of Time Series Regressions Linbo Liu Danna Zhang AI4TS 84 1 0 21 Sep 2021
High-Dimensional Low-Rank Tensor Autoregressive Time Series Modeling Di Wang Yao Zheng Guodong Li AI4TS 61 36 0 12 Jan 2021
Bayesian Temporal Factorization for Multidimensional Time Series Prediction Xinyu Chen Lijun Sun AI4TS 71 216 0 14 Oct 2019
Localizing Changes in High-Dimensional Vector Autoregressive Processes Daren Wang Yi Yu Alessandro Rinaldo Rebecca Willett 83 22 0 12 Sep 2019
Testing for high-dimensional network parameters in auto-regressive models Lili Zheng Garvesh Raskutti 76 18 0 10 Dec 2018
Finite Time Analysis of Vector Autoregressive Models under Linear Restrictions Yao Zheng Guang Cheng 57 13 0 26 Nov 2018
On testing for high-dimensional white noise Zeng Li Clifford Lam Jianfeng Yao Q. Yao 65 40 0 10 Aug 2018
Foundations of Sequence-to-Sequence Modeling for Time Series Vitaly Kuznetsov Zelda E. Mariet AI4TS BDL 66 56 0 09 May 2018
Lasso Guarantees for $β$ -Mixing Heavy Tailed Time Series Kam Chung Wong Zifan Li Ambuj Tewari 78 25 0 03 Aug 2017
Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models Xin Ding Ziyi Qiu Xiaohui Chen 101 14 0 14 Apr 2016
Estimating Structured Vector Autoregressive Model Igor Melnyk A. Banerjee 72 53 0 21 Feb 2016
A Unified Theory of Confidence Regions and Testing for High Dimensional Estimating Equations Matey Neykov Y. Ning Jun S. Liu Han Liu 100 77 0 30 Oct 2015
Regularized estimation of linear functionals of precision matrices for high-dimensional time series Xiaohui Chen Mengyu Xu Wei Biao Wu 99 25 0 11 Jun 2015
Nonconvex Statistical Optimization: Minimax-Optimal Sparse PCA in Polynomial Time Zhaoran Wang Huanran Lu Han Liu 134 36 0 22 Aug 2014