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A direct estimation of high dimensional stationary vector autoregressions
Fang Han, Huanran Lu, Han Liu
Operations Research & Financial Engineering
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peer-review
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Mathematics
Vector Autoregression
Vector Autoregressive Model
High-dimensional
Time series
Lasso
Dependence Structure
Dimensionality
Penalty
Cracking
Equity
Parallel Computing
Spectral Norm
Model Analysis
Estimator
Ridge
Forecasting
Transition Matrix
Instant
Linear Program
Higher Dimensions
Data analysis
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Parameter Estimation
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Engineering & Materials Science
Time series
Parallel processing systems
Parameter estimation