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Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models.
Jiahe Lin
George Michailidis
Published in:
J. Mach. Learn. Res. (2020)
Keyphrases
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high dimensional
estimation problems
dimensionality reduction
nearest neighbor
image denoising
autoregressive
image processing
feature space
low dimensional
parameter estimation