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

ISSN: 0162-1459