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20152023
most citedInterpretable Vector AutoRegressions with Exogenous Time Series

8 citations · 19 across the 15 of their papers we have counts for

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Showing 2017 · stat.MEShow all

1 paper · 2 filters

stat.ME2017

Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages

Ines Wilms, Sumanta Basu, Jacob Bien +1

The Vector AutoRegressive Moving Average (VARMA) model is fundamental to the theory of multivariate time series; however, identifiability issues have led practitioners to abandon i…