High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling (2023)
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1080/01621459.2023.2240054
Publication URI: http://dx.doi.org/10.1080/01621459.2023.2240054
Type: Journal Article/Review
Parent Publication: Journal of the American Statistical Association
Issue: 547
ISSN: 0162-1459