Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models - Krampe, Jonas; Paparoditis, Efstathios (Journal of time series analysis, 2021)
Keywords: Autoregressive models; Consistency; Dantzig selector; Estimators; Lasso; Norms; Parameter estimation; Sparsity; thresholdingMOS subject classification: 62M10; Time series; vector autoregression; Yule–Walker estimators