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Skripnikov et al., 2019 - Google Patents

Joint estimation of multiple network Granger causal models

Skripnikov et al., 2019

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Document ID
14827940969099940735
Author
Skripnikov A
Michailidis G
Publication year
Publication venue
Econometrics and Statistics

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Snippet

Joint regularized modeling framework is presented for the estimation of multiple Granger causal networks. High-dimensional network Granger models focus on learning the corresponding causal effects amongst a large set of distinct time series. They are …
Continue reading at par.nsf.gov (PDF) (other versions)

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    • G06Q10/00—Administration; Management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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