Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models

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Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models

TitleSparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
Publication TypeJournal Article
Year of Publication2017
AuthorsDing, X, Qiu, Z, Chen, X
JournalElectronic Journal of Statistics
Volume11
Pagination3871–3902