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Statistical Estimation of High-Dimensional Vector Autoregressive Models ↗
High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the different regularized estimation procedures proposed for fitting sparse VAR models to such time series. Attention is pai…
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High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the different regularized estimation procedures proposed for fitting sparse VAR models to such time series. Attention is paid to the different sparsity assumptions imposed on the VAR parameters and how these sparsity assumptions are related to the particular consistency properties of the estimators established. A sparsity scheme for high-dimensional VAR models is proposed which is found to be more appropriate for the time series setting considered.