High Dimensional Forecasting via Interpretable Vector Autoregression.
William B. NicholsonInes WilmsJacob BienDavid S. MattesonPublished in: J. Mach. Learn. Res. (2020)
Keyphrases
- high dimensional
- low dimensional
- sparse data
- similarity search
- medium term
- short term
- dimensionality reduction
- variable selection
- multi modal
- input space
- gene expression data
- data points
- support vector regression
- metric space
- high dimensionality
- crude oil
- high dimensional data
- long term
- forecasting model
- weather forecasting
- high dimension
- financial time series
- high dimensional spaces
- machine learning
- exchange rate
- nearest neighbor
- feature space
- neural network
- dimensional data
- noisy data
- multi dimensional
- high dimensional problems
- forecasting accuracy
- pattern recognition
- grey model