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Sparse estimation of parameter support sets for generalized vector autoregressions by resampling and model aggregation.

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Bibliographic Details
Title: Sparse estimation of parameter support sets for generalized vector autoregressions by resampling and model aggregation.
Authors: Ruiz, Trevor D.1 (AUTHOR) truiz01@calpoly.edu, Bhattacharyya, Sharmodeep2 (AUTHOR), Emerson, Sarah C.2 (AUTHOR)
Source: Journal of Statistical Computation & Simulation. May2025, Vol. 95 Issue 8, p1666-1681. 16p.
Database: Mathematics Source
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Description
ISSN:00949655
DOI:10.1080/00949655.2025.2469905