Hierarchical Vector Autoregression

17 Dec 2014William B. NicholsonJacob BienDavid S. Matteson

Vector autoregression (VAR) is a fundamental tool for modeling the joint dynamics of multivariate time series. However, as the number of component series is increased, the VAR model quickly becomes overparameterized, making reliable estimation difficult and impeding its adoption as a forecasting tool in high dimensional settings... (read more)

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