2 papers
stat.ME2019
High-dimensional vector autoregressive time series modeling via tensor decomposition
Di Wang, Yao Zheng, Heng Lian +1
The classical vector autoregressive model is a fundamental tool for multivariate time series analysis. However, it involves too many parameters when the number of time series and l…
math.ST2018
Finite Time Analysis of Vector Autoregressive Models under Linear Restrictions
Yao Zheng, Guang Cheng
This paper develops a unified finite-time theory for the ordinary least squares estimation of possibly unstable and even slightly explosive vector autoregressive models under linea…