Open AccessNonconcave penalized estimation in sparse vector autoregression model
Author(s) -
Xuening Zhu
Publication year - 2020
Publication title -
electronic journal of statistics
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 1.482
H-Index - 54
ISSN - 1935-7524
DOI - 10.1214/20-ejs1693
Subject(s) - mathematics , econometrics , vector autoregression , autoregressive model , bayesian vector autoregression , curse of dimensionality , lasso (programming language) , series (stratigraphy) , convergence (economics) , statistics , computer science , bayesian probability , paleontology , world wide web , economics , biology , economic growth