22 citations · 24 across the 2 of their papers we have counts for
2 papers
stat.AP2014★ 2 cited
Reduced-Rank Covariance Estimation in Vector Autoregressive Modeling
Richard A. Davis, Pengfei Zang, Tian Zheng
We consider reduced-rank modeling of the white noise covariance matrix in a large dimensional vector autoregressive (VAR) model. We first propose the reduced-rank covariance estima…
stat.AP2012★ 22 cited
Sparse Vector Autoregressive Modeling
Richard A. Davis, Pengfei Zang, Tian Zheng
The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of A…