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Generalizing high-dimensional VAR results to stationary exogenous variables
Consider the high-dimensional stationary vector autoregression … where the response vectors $y_t$ and errors $\epsilon_t$ are as in the paper. Suppose the model is augmented with e…
Conjectureopenexogenous-variables high-dimensional-statistics vector-autoregressionsarXiv posted 2 days ago

Generalizing high-dimensional VAR results to stationary exogenous variables