High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood

Kimmo Suotsalo, Yingying Xu, Jukka Corander, Johan Pensar. High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood. Statistics and Computing, 31(6):73, 2021. [doi]

Authors

Kimmo Suotsalo

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Yingying Xu

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Jukka Corander

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Johan Pensar

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