High-dimensional VAR with low-rank transition

@article{Alquier2020HighdimensionalVW,
  title={High-dimensional VAR with low-rank transition},
  author={Pierre Alquier and K. Bertin and P. Doukhan and R{\'e}my Garnier},
  journal={Statistics and Computing},
  year={2020},
  volume={30},
  pages={1139-1153}
}
We propose a vector auto-regressive model with a low-rank constraint on the transition matrix. This model is well suited to predict high-dimensional series that are highly correlated, or that are driven by a small number of hidden factors. While our model has formal similarities with factor models, its structure is more a way to reduce the dimension in order to improve the predictions, rather than a way to define interpretable factors. We provide an estimator for the transition matrix in a very… Expand
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