A direct estimation of high dimensional stationary vector autoregressions

Mathematics

• Vector Autoregression 100%
• Vector Autoregressive Model 94%
• High-dimensional 52%
• Time series 28%
• Lasso 25%
• Dependence Structure 23%
• Dimensionality 21%
• Penalty 20%
• Cracking 15%
• Equity 15%
• Parallel Computing 13%
• Spectral Norm 13%
• Model Analysis 13%
• Estimator 12%
• Ridge 12%
• Forecasting 12%
• Transition Matrix 11%
• Instant 11%
• Linear Program 11%
• Higher Dimensions 9%
• Learning 9%
• Data analysis 9%
• Parameter Estimation 9%
• Least Squares 9%
• Prediction 8%
• Experiment 8%
• Alternatives 6%
• Term 5%

Engineering & Materials Science

• Time series 23%
• Parallel processing systems 9%
• Parameter estimation 8%