Large Vector Auto Regressions
Year of publication: |
2011-08
|
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Authors: | Song, Song ; Bickel, Peter J. |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Time Series | Vector Auto Regression | Regularization | Lasso | Group Lasso | Oracle estimator |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2011-048 32 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; E30 - Prices, Business Fluctuations, and Cycles. General ; E40 - Money and Interest Rates. General ; G10 - General Financial Markets. General |
Source: |
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Song, Song, (2011)
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Song, Song, (2011)
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