Decomposition of VAR(1) coefficient matrix
Posted by Ville, at stats.stackexchange.com,
Consider the VAR(1) process $X_t = \Phi X_{t-1} + \epsilon_t.$ Is there a generally accepted decomposition for the coefficient…
Subset selection for vector autoregressive processes using Lasso
Overview of attention for article published in Computational Statistics & Data Analysis, March 2008
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