bigtime: Sparse Estimation of Large Time Series Models

Ines Wilms, Sumanta Basu, David S. Matteson, Jacob Bien, William Nicholson, Enrico Wegner

Research output: Non-textual / digital / web - outputsSoftwareAcademic

Abstract

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.
Original languageEnglish
PublisherThe Comprehensive R Archive Network
Media of outputOnline
Publication statusPublished - 9 Aug 2021

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