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Sparse seasonal seasonal and periodic vector autoregressive modeling

Baek, C; Davis, RA; Pipiras, V

Baek, C (reprint author), Sungkyunkwan Univ, Dept Stat, 25-2 Sungkyunkwan Ro, Seoul 110745, South Korea.

COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2017; 106 ( ): 103

Abstract

Seasonal and periodic vector autoregressions are two common approaches to modeling vector time series exhibiting cyclical variations. The total number......

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