4 citations · 9 across the 6 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
stat.ME2020
Structural Inference in Sparse High-Dimensional Vector Autoregressions
Jonas Krampe, Efstathios Paparoditis, Carsten Trenkler
We consider statistical inference for impulse responses in sparse, structural high-dimensional vector autoregressive (SVAR) systems. We introduce consistent estimators of impulse r…
stat.ML2020★ 1 cited
Statistical Estimation of High-Dimensional Vector Autoregressive Models
Jonas Krampe, Efstathios Paparoditis
High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the…