VARX-L: Structured regularization for large vector autoregressions with exogenous variables
نویسندگان
چکیده
منابع مشابه
Structured Regularization for Large Vector Autoregression
The vector autoregression (VAR), has long proven to be an effective method for modeling the joint dynamics of macroeconomic time series as well as forecasting. One of the major disadvantages of the VAR that has hindered its applicability is its heavy parameterization; the parameter space grows quadratically with the number of series included, quickly exhausting the available degrees of freedom....
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2017
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2017.01.003