An interpretable and efficient infinite-order vector autoregressive model for high-dimensional time series
Y Zheng - Journal of the American Statistical Association, 2024 - Taylor & Francis
As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive
moving average (VARMA) model can capture much richer temporal patterns than the widely …
moving average (VARMA) model can capture much richer temporal patterns than the widely …