38 citations · 42 across the 3 of their papers we have counts for
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stat.ME2024★ 3 cited
Vector AutoRegressive Moving Average Models: A Review
Marie-Christine Düker, David S. Matteson, Ruey S. Tsay +1
Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series. While VARMA models encompass the Vect…
stat.ME2014★ 38 cited
High Dimensional Forecasting via Interpretable Vector Autoregression
William B. Nicholson, Ines Wilms, Jacob Bien +1
Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparamete…