NETS: Network Estimation for Time Series
نویسندگان
چکیده
منابع مشابه
Nets: Network Estimation for Time Series
This work proposes novel network analysis techniques for multivariate time series. We de ne the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non{zero long run partial correlations. We then introduce a two step lasso procedure, called nets, to estimate high{dimensional sparse Long Run Partial Correlation networks. This appr...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2249909