"Regularized Estimation of High-dimensional Factor-Augmented Vector ..."

Jiahe Lin, George Michailidis (2020)

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type: Journal Article

metadata version: 2024-09-11

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Jiahe Lin, George Michailidis:
Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models. J. Mach. Learn. Res. 21: 117:1-117:51 (2020)

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