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High-dimensional VAR with low-rank transition |
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| Authors: | Alquier Pierre Bertin Karine Doukhan Paul Garnier Rémy |
| Institution: | 1.Center for Advanced Intelligence Project, RIKEN, 1-4-1 Nihonbashi Chuo-ku, Tokyo, Japan ;2.CIMFAV, Universidad de Valparaíso, General Cruz 222, Valparaiso, Chile ;3.Laboratoire AGM UMR 8088, Université Paris Seine, 2 Bd. Adolphe Chauvin, 95000, Cergy-Pontoise, France ;4.CDiscount, 120 Quai de Bacalan, 33000, Bordeaux, France ; |
| Abstract: | Statistics and Computing - 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... |
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