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  • In this paper we apply the principle of overcompleteness to sparse parameter estimation in multivariate ARMA models (VARMA models). This new approach is based on the Basis Pursuit Algorithm originally suggested by Chen et al [1]. Overcompleteness means that we admit higher range of orders within which we are looking for lowest possible number of significant parameters (sparsity). A previous study confirmed that this relaxation of the commonly used low-order assumption may yield more precise forecasts from ARMA models when compared with standard statistical estimation techniques. Here an analogical approach will be used for the analysis of multivariate economic time series. It is well-known that particular time series are strongly cross-correlated. That is why we expect our technique to be possibly successful for the multivariate case too.
  • In this paper we apply the principle of overcompleteness to sparse parameter estimation in multivariate ARMA models (VARMA models). This new approach is based on the Basis Pursuit Algorithm originally suggested by Chen et al [1]. Overcompleteness means that we admit higher range of orders within which we are looking for lowest possible number of significant parameters (sparsity). A previous study confirmed that this relaxation of the commonly used low-order assumption may yield more precise forecasts from ARMA models when compared with standard statistical estimation techniques. Here an analogical approach will be used for the analysis of multivariate economic time series. It is well-known that particular time series are strongly cross-correlated. That is why we expect our technique to be possibly successful for the multivariate case too. (en)
Title
  • The Principle of Overcompleteness in Multivariate Economic Time Series Models
  • The Principle of Overcompleteness in Multivariate Economic Time Series Models (en)
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  • The Principle of Overcompleteness in Multivariate Economic Time Series Models
  • The Principle of Overcompleteness in Multivariate Economic Time Series Models (en)
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  • RIV/00216224:14560/06:00031653!RIV10-MSM-14560___
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  • 494576
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  • RIV/00216224:14560/06:00031653
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  • multivariate time series; sparse system; overcomplete system; VARMA models; l1 norm optimization; stationary time series (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [CECC31B52534]
http://linked.open...v/mistoKonaniAkce
  • Plzeň
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  • Plzeň
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  • Mathematical Methods in Economics 2006
http://linked.open...in/vavai/riv/obor
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http://linked.open...UplatneniVysledku
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  • Tonner, Jaromír
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000262064700057
http://linked.open.../riv/zahajeniAkce
number of pages
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  • University of Pilsen
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  • 80-7043-479-1
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  • 14560
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