A BAYESIAN FRAMEWORK FOR SPARSE ESTIMATION IN HIGH-DIMENSIONAL MIXED FREQUENCY VECTOR AUTOREGRESSIVE MODELS

Chakraborty, N; Khare, K; Michailidis, G

Michailidis, G (通讯作者),Univ Florida, Informat Inst, Gainesville, FL 32611 USA.

STATISTICA SINICA, 2023; 33 (): 1629

Abstract

The study considers a vector autoregressive model for high-dimensional mixed frequency data, where selective time series are collected at different fr......

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