A weighted l1-regularized estimator for high-dimensional multivariate VAR that incorporates spatial graph constraints to recover sparse spatio-temporal transition structures.
Journal of Computational and Graphical Statistics , volume=
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High-Dimensional Multivariate VAR Estimation with Spatio-Temporal Structure
A weighted l1-regularized estimator for high-dimensional multivariate VAR that incorporates spatial graph constraints to recover sparse spatio-temporal transition structures.