منابع مشابه
Sparse seasonal and periodic vector autoregressive modeling
Seasonal and periodic vector autoregressions are two common approaches to modeling vector time series exhibiting cyclical variations. The total number of parameters in these models increases rapidly with the dimension and order of the model, making it difficult to interpret the model and questioning the stability of the parameter estimates. To address these and other issues, two methodologies f...
متن کاملFinite sample effects in vector autoregressive modeling
In vector autoregressive modeling, the order selected with the Akaike Information Criterion tends to be too high. This effect is called overfit. Finite sample effects are an important cause of overfit. By incorporating finite sample effects, an order selection criterion for vector AR models can be found with an optimal trade-off of underfit and overfit. The finite sample formulae in this paper ...
متن کاملCircular Conditional Autoregressive Modeling of Vector Fields.
As hurricanes approach landfall, there are several hazards for which coastal populations must be prepared. Damaging winds, torrential rains, and tornadoes play havoc with both the coast and inland areas; but, the biggest seaside menace to life and property is the storm surge. Wind fields are used as the primary forcing for the numerical forecasts of the coastal ocean response to hurricane force...
متن کاملSparse Autoregressive Networks
We consider high-dimensional distribution estimation through autoregressive networks. By combining the concepts of sparsity, mixtures and parameter sharing we obtain a simple model which is fast to train and which achieves state-of-theart or better results on several standard benchmark datasets. Specifically, we use an L1-penalty to regularize the conditional distributions and introduce a proce...
متن کاملOn vector autoregressive modeling in space and time
Despite the fact that it provides a potentially useful analytical tool, allowing for the joint modeling of dynamic interdependencies within a group of connected areas, until lately the VAR approach had received little attention in regional science and spatial economic analysis. While previous attempts at integrating vector autoregressions in a spatial econometric environment can be traced back,...
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ژورنال
عنوان ژورنال: Journal of Computational and Graphical Statistics
سال: 2016
ISSN: 1061-8600,1537-2715
DOI: 10.1080/10618600.2015.1092978