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Journal of Computational and Graphical Statistics Volume 26, 2017 - Issue 3
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Spatio-Temporal Data

High-Dimensional Multivariate Time Series With Additional Structure

Michael SchweinbergerDepartment of Statistics, Rice University, Houston, TX
,
Sergii BabkinDepartment of Statistics, Rice University, Houston, TX
&
Katherine B. EnsorDepartment of Statistics, Rice University, Houston, TX
Pages 610-622 | Received 01 Feb 2016, Published online: 25 May 2017

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Satyajit Ghosh, Kshitij Khare & George Michailidis. (2019) High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models. Journal of the American Statistical Association 114:526, pages 735-748.
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Articles from other publishers (7)

Ricardo P. Masini, Marcelo C. Medeiros & Eduardo F. Mendes. (2021) Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations. Journal of Time Series Analysis 43:4, pages 532-557.
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Yuan Yan, Hsin-Cheng Huang & Marc G. Genton. (2021) Vector Autoregressive Models with Spatially Structured Coefficients for Time Series on a Spatial Grid. Journal of Agricultural, Biological and Environmental Statistics 26:3, pages 387-408.
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Mingu Kwak & Seoung Bum Kim. (2021) Unsupervised Abnormal Sensor Signal Detection With Channelwise Reconstruction Errors. IEEE Access 9, pages 39995-40007.
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Changryong Baek, Katheleen M. Gates, Benjamin Leinwand & Vladas Pipiras. (2021) Two sample tests for high-dimensional autocovariances. Computational Statistics & Data Analysis 153, pages 107067.
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Ansgar Steland. (2020) Testing and estimating change-points in the covariance matrix of a high-dimensional time series. Journal of Multivariate Analysis 177, pages 104582.
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Felipe Tagle, Stefano Castruccio, Paola Crippa & Marc G. Genton. (2018) A Non‐Gaussian Spatio‐Temporal Model for Daily Wind Speeds Based on a Multi‐Variate Skew‐ t Distribution . Journal of Time Series Analysis 40:3, pages 312-326.
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Dazhi Yang. (2018) Ultra-fast preselection in lasso-type spatio-temporal solar forecasting problems. Solar Energy 176, pages 788-796.
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