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

2017 ◽  
Vol 11 (2) ◽  
pp. 3871-3902 ◽  
Author(s):  
Xin Ding ◽  
Ziyi Qiu ◽  
Xiaohui Chen
Keyword(s):  
Transition Matrix ◽  
Autoregressive Models ◽  
High Dimensional ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Matrix Estimation ◽  
Stationary Vector

scholarly journals Multiple Change Points Detection in Low Rank and Sparse High Dimensional Vector Autoregressive Models

2020 ◽  
Vol 68 ◽  
pp. 3074-3089
Author(s):  
Peiliang Bai ◽  
Abolfazl Safikhani ◽  
George Michailidis
Keyword(s):  
Autoregressive Models ◽  
Low Rank ◽  
Change Points ◽  
High Dimensional ◽  
Dimensional Vector ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive

Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

2008 ◽  
Vol 28 (1-3) ◽  
pp. 225-245 ◽  
Author(s):  
Changli He ◽  
Timo Teräsvirta ◽  
Andrés González
Keyword(s):  
Autoregressive Models ◽  
Continuous Change ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Parameter Constancy ◽  
Testing Parameter ◽  
Stationary Vector

scholarly journals High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models

2018 ◽  
Vol 114 (526) ◽  
pp. 735-748 ◽  
Author(s):  
Satyajit Ghosh ◽  
Kshitij Khare ◽  
George Michailidis
Keyword(s):  
Autoregressive Models ◽  
High Dimensional ◽  
Posterior Consistency ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive

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

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

A Spatial Prior for Bayesian Vector Autoregressive Models

1999 ◽  
Vol 39 (2) ◽  
pp. 297-317 ◽  
Author(s):  
James P. LeSage ◽  
Anna Krivelyova
Keyword(s):  
Autoregressive Models ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive

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

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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