Corpus ID: 236318325

Robust Estimation of High-Dimensional Vector Autoregressive Models

  title={Robust Estimation of High-Dimensional Vector Autoregressive Models},
  author={Di Wang and Ruey S. Tsay},
  • Di Wang, R. Tsay
  • Published 2021
  • Mathematics
High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series, but also the existence of aberrant observations, such as missing values, contaminated observations, and heavy-tailed distributions. For high-dimensional vector autoregressive (VAR) models, we introduce a unified estimation procedure that is robust to model… Expand

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