High Dimensional Forecasting via Interpretable Vector Autoregression

William B. Nicholson, Ines Wilms, Jacob Bien, David S. Matteson

Research output: Contribution to journalArticleAcademicpeer-review

6 Citations (Web of Science)
Original languageEnglish
Article number166
Pages (from-to)1-52
Number of pages52
JournalJournal of Machine Learning Research
Volume21
Issue number166
Publication statusPublished - 2020

Keywords

  • components
  • forecasting
  • group lasso
  • lasso
  • model selection
  • multivariate time series
  • number
  • rank
  • regression
  • regularization
  • regulatory networks
  • shrinkage
  • sparsity
  • variable selection
  • vector autoregression
  • RANK
  • MODEL SELECTION
  • LASSO
  • REGULARIZATION
  • REGRESSION
  • SPARSITY
  • NUMBER
  • COMPONENTS
  • SHRINKAGE
  • REGULATORY NETWORKS

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