Penalized Estimation of Sparse Markov Regime-Switching Vector Auto-Regressive Models

Gilberto Chávez-Martínez, Ankush Agarwal, Abbas Khalili, Syed Ejaz Ahmed. Penalized Estimation of Sparse Markov Regime-Switching Vector Auto-Regressive Models. Technometrics, 65(4):553-563, October 2023. [doi]

Abstract

Abstract is missing.