Neighborhood VAR: Efficient estimation of multivariate timeseries with neighborhood information
邻域 VAR:利用邻域信息高效估计多元时间序列
In data science, vector autoregression (VAR) models are popular in modeling multivariate time series in the environmental sciences and other applications. However, these models are computationally complex with the number of parameters scaling quadratically with the number of time series. In this work, we propose a so-called neighborhood vector autoregression (NVAR) model to efficiently analyze large-dimensional multivariate time series. We assume that the time series have…