JASA Jun 27, 2025

Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions

Authors
Anders B. Kock Rasmus S. Pedersen Jesper R.-V. Sørensen
Research Topics
Machine Learning High-Dimensional Statistics
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Paper Information
  • Journal:
    Journal of the American Statistical Association
  • DOI:
    10.1080/01621459.2025.2516190
  • Published:
    June 27, 2025
  • Added to Tracker:
    Jul 30, 2025
Author Details
Anders B. Kock
Author
Rasmus S. Pedersen
Author
Jesper R.-V. Sørensen
Author
Research Topics & Keywords
Machine Learning
Research Area
High-Dimensional Statistics
Research Area
Citation Information
APA Format
Anders B. Kock , Rasmus S. Pedersen & Jesper R.-V. Sørensen (2025) . Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions. Journal of the American Statistical Association , 10.1080/01621459.2025.2516190.
BibTeX Format
@article{paper296,
  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 },
  year = { 2025 },
  doi = { 10.1080/01621459.2025.2516190 },
  url = { https://www.tandfonline.com/doi/full/10.1080/01621459.2025.2516190 }
}
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