NIRVAR: Network Informed Restricted Vector Autoregression
NIRVAR: Network Informed Restricted Vector Autoregression
High-dimensional panels of time series arise in many scientific disciplines such as neuroscience, finance, and macroeconomics. Often, co-movements within groups of the panel components occur. Extracting these groupings from the data provides a course-grained description of the complex system in question and can inform subsequent prediction tasks. We develop a …