Modeling Strategies for Large Dimensional Vector Autoregressions
The vector autoregressive (VAR) model has been widely used for describing the dynamic behavior of multivariate time series. However, fitting standard VAR models to large dimensional time series is challenging primarily due to the large number of parameters involved. In this thesis, we propose two st...
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| Language: | English |
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2012
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| Online Access: | https://doi.org/10.7916/D8JW8N0V |