Testing for high-dimensional network parameters in auto-regressive models
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DOI: 10.1214/19-ejs1646
Abstract: High-dimensional auto-regressive models provide a natural way to model influence between $M$ actors given multi-variate time series data for $T$ time intervals. While there has been considerable work on network estimation, there is limited work… read more here.
Keywords: high dimensional; network; time; regressive models ... See more keywords