TY  - GEN 
AU  - Carrizosa, Emilio
AU  - Olivares Nadal, Alba Victoria
AU  - Ramírez Cobo, Josefa
A4  - Estadística e Investigación Operativa
PY  - 2017
SN  - 1468-4357
SN  - 1465-4644
UR  - http://hdl.handle.net/10498/35475
AB  - Vector autoregressive (VAR) models constitute a powerful and well studied tool to analyze multivariate time series. Since sparseness, crucial to identify and visualize joint dependencies and relevant causalities, is not expected to happen in the...
LA  - eng
PB  - Oxford University Press
KW  - Causality
KW  - Mixed Integer Non Linear Programming
KW  - Multivariate time series
KW  - Sparse models
KW  - Vector autoregressive process
TI  - A sparsity-controlled vector autoregressive model
DO  - 10.1093/BIOSTATISTICS/KXW042
ER  -