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Showing 1 to 2 of 2 for “"Vector autoregressive process"”.
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Modified Burg algorithms for multivariate subset autoregression
… forward and backward prediction error residual vectors, as a function of the reflection coefficient matrices. We show that this sum has a global minimum, and give an explicit expression for the minimizer. By modifying the manner in which the reflection coefficients are calculated, this algorithm …
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High-dimensional and dependent data with additional structure
The age of computing has enabled the collection of massive amounts of data. These data present numerous statistical challenges, because many data sets are high-dimensional and dependent. While statistical inference for high-dimensional and dependent data is challenging, many data come with …