38 citations · 61 across the 3 of their papers we have counts for
4 papers
An Improved Online Penalty Parameter Selection Procedure for -Penalized Autoregressive with Exogenous Variables
William B. Nicholson, Xiaohan Yan
Many recent developments in the high-dimensional statistical time series literature have centered around time-dependent applications that can be adapted to regularized least square…
BigVAR: Tools for Modeling Sparse High-Dimensional Multivariate Time Series
William Nicholson, David Matteson, Jacob Bien
The R package BigVAR allows for the simultaneous estimation of high-dimensional time series by applying structured penalties to the conventional vector autoregression (VAR) and vec…
VARX-L: Structured Regularization for Large Vector Autoregressions with Exogenous Variables
William Nicholson, David Matteson, Jacob Bien
The vector autoregression (VAR) has long proven to be an effective method for modeling the joint dynamics of macroeconomic time series as well as forecasting. A major shortcoming o…
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…