Ontology highlight
ABSTRACT:
SUBMITTER: Ghosh S
PROVIDER: S-EPMC6716151 | biostudies-literature | 2019
REPOSITORIES: biostudies-literature
Ghosh Satyajit S Khare Kshitij K Michailidis George G
Journal of the American Statistical Association 20180807 526
Vector autoregressive (VAR) models aim to capture linear temporal interdependencies amongst multiple time series. They have been widely used in macroeconomics and financial econometrics and more recently have found novel applications in functional genomics and neuroscience. These applications have also accentuated the need to investigate the behavior of the VAR model in a high-dimensional regime, which provides novel insights into the role of temporal dependence for regularized estimates of the ...[more]