• Corpus ID: 252070926

An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series

@inproceedings{Zheng2022AnIA,
  title={An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series},
  author={Yao Zheng and Shibo Li},
  year={2022}
}
As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long been hindered by its non-identifiability, computational intractability, and relative difficulty of interpretation. This paper introduces a novel infinite-order VAR model which, with only a little sacrifice of generality, inherits the essential temporal… 

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