An Improved Online Penalty Parameter Selection Procedure for $\ell_1$-Penalized Autoregressive with Exogenous Variables

no code implementations • 15 Oct 2020 • 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 squares.

feature selection Time Series +1

High Dimensional Forecasting via Interpretable Vector Autoregression

no code implementations • 17 Dec 2014 • William B. Nicholson, Ines Wilms, Jacob Bien, David S. Matteson

Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series.

Time Series Time Series Analysis +1