Jiahe Lin

University of Michigan at Ann Arbor

Ann Arbor, MI 48109

United States

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Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models

Lin, J., & Michailidis, G. (2020). Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models. The Journal of Machine Learning Research, Volume 21
Number of pages: 44 Posted: 24 Jun 2020
Jiahe Lin and George Michailidis
University of Michigan at Ann Arbor and University of Michigan at Ann Arbor
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Abstract:

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Model Identifiability, Compactness, Low-Rank Plus Sparse Decomposition, Finite-Sample Bounds