Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error
Sign Up to like & getrecommendations! Published in 2020 at "Statistica Sinica"
DOI: 10.5705/ss.202021.0151
Abstract: High-dimensional vector autoregression with measurement error is frequently encountered in a large variety of scientific and business applications. In this article, we study statistical inference of the transition matrix under this model. While there has… read more here.
Keywords: measurement error; autoregression measurement; inference; dimensional vector ... See more keywords