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A sparsity-controlled vector autoregressive model


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Opened Access A sparsity-controlled vector autoregressive model

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Author: Carrizosa Priego, Emilio José
Olivares Nadal, Alba Victoria
Ramírez Cobo, Josefa
Department: Universidad de Sevilla. Departamento de Estadística e Investigación Operativa
Date: 2017-04
Published in: Biostatistics, 18 (2), 244-259.
Document type: Article
Abstract: Vector autoregressive (VAR) models constitute a powerful and well studied tool to analyze multivariate time series. Since sparseness, crucial to identify and visualize joint dependencies and relevant causalities, is not expected to happen in the s...
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Format: PDF


DOI: 10.1093/biostatistics/kxw042

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