Random Forest Variable Selection for Sparse Vector Autoregressive Models

Contributions to Statistics - Theory and Applications of Time Series Analysis ◽

10.1007/978-3-030-56219-9_1 ◽

2020 ◽

pp. 3-17

Author(s):

Dmitry Pavlyuk

Keyword(s):

Random Forest ◽

Variable Selection ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Sparse Vector ◽

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Bayesian Nonparametric Sparse Vector Autoregressive Models

Mathematical and Statistical Methods for Actuarial Sciences and Finance ◽

10.1007/978-3-319-89824-7_29 ◽

2018 ◽

pp. 155-160

Author(s):

Monica Billio ◽

Roberto Casarin ◽

Luca Rossini

Keyword(s):

Autoregressive Models ◽

Bayesian Nonparametric ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

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Order selection for vector autoregressive models

IEEE Transactions on Signal Processing ◽

10.1109/tsp.2002.806905 ◽

2003 ◽

Vol 51 (2) ◽

pp. 427-433 ◽

Author(s):

S. de Waele ◽

P.M.T. Broersen

Keyword(s):

Autoregressive Models ◽

Order Selection ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

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Adaptive lasso in sparse vector autoregressive models

Korean Journal of Applied Statistics ◽

10.5351/kjas.2016.29.1.027 ◽

2016 ◽

Vol 29 (1) ◽

pp. 27-39

Author(s):

Sl Gi Lee ◽

Changryong Baek

Keyword(s):

Adaptive Lasso ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

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Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.1326833 ◽

2008 ◽

Author(s):

Tom Fong ◽

Chun Shan Wong

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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PC-VAR Estimation of Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.2006847 ◽

2012 ◽

Author(s):

Claudio Morana

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Exposing volatility spillovers: A comparative analysis based on vector autoregressive models

Finance Research Letters ◽

10.1016/j.frl.2016.05.002 ◽

2016 ◽

Vol 18 ◽

pp. 302-305 ◽

Author(s):

Dionisis Philippas ◽

Catalin Dragomirescu-Gaina

Keyword(s):

Comparative Analysis ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Volatility Spillovers

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A Spatial Prior for Bayesian Vector Autoregressive Models

Journal of Regional Science ◽

10.1111/1467-9787.00135 ◽

1999 ◽

Vol 39 (2) ◽

pp. 297-317 ◽

Author(s):

James P. LeSage ◽

Anna Krivelyova

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Fitting Multilevel Vector Autoregressive Models in Stan, JAGS, and Mplus

Structural Equation Modeling A Multidisciplinary Journal ◽

10.1080/10705511.2021.1911657 ◽

2021 ◽

pp. 1-24

Author(s):

Yanling Li ◽

Julie Wood ◽

Linying Ji ◽

Sy-Miin Chow ◽

Zita Oravecz

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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Bootstrap prediction bands for forecast paths from vector autoregressive models

Journal of Forecasting ◽

10.1002/for.1205 ◽

2010 ◽

Vol 30 (8) ◽

pp. 721-735 ◽

Author(s):

Anna Staszewska-Bystrova

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Prediction Bands

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Stationary Threshold Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.3226570 ◽

2018 ◽

Author(s):

Galyna Grynkiv ◽

Lars Stentoft

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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