Suppose that (k) is large and that the series follows a VAR(1) with a sparse parameter matrix

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Suppose that $k$ is large and that the series follows a VAR(1) with a sparse parameter matrix with many coefficients equal to zero and rank \(r<

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Statistical Learning For Big Dependent Data

ISBN: 9781119417385

1st Edition

Authors: Daniel Peña, Ruey S. Tsay

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Question Posted: May 05, 2024 06:00 AM

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Suppose that (k) is large and that the series follows a VAR(1) with a sparse parameter matrix

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Statistical Learning For Big Dependent Data

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