JASA
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
Authors
Anders B. Kock
Rasmus S. Pedersen
Jesper R.-V. Sørensen
Research Topics
High-Dimensional Statistics
Machine Learning
Paper Information
-
Journal:
Journal of the American Statistical Association -
DOI:
10.1080/01621459.2025.2516190 -
Added to Tracker:
Jul 16, 2025
Author Details
Anders B. Kock
AuthorRasmus S. Pedersen
AuthorJesper R.-V. Sørensen
AuthorResearch Topics & Keywords
High-Dimensional Statistics
Research AreaMachine Learning
Research AreaCitation Information
APA Format
Anders B. Kock
,
Rasmus S. Pedersen
&
Jesper R.-V. Sørensen
.
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions.
Journal of the American Statistical Association
, 10.1080/01621459.2025.2516190.
BibTeX Format
@article{paper203,
title = { Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions },
author = {
Anders B. Kock
and Rasmus S. Pedersen
and Jesper R.-V. Sørensen
},
journal = { Journal of the American Statistical Association },
doi = { 10.1080/01621459.2025.2516190 },
url = { https://www.tandfonline.com/doi/full/10.1080/01621459.2025.2516190 }
}