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Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series
Causal inference in multivariate time series is challenging because the sampling rate may not be as fast as the time scale of the causal interactions, so the observed series is a subsampled version of the desired series. Furthermore, series may be observed at different sampling rates, yielding mixed...
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| Publicado no: | Biometrika |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Oxford University Press
2019
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6508036/ https://ncbi.nlm.nih.gov/pubmed/31097836 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biomet/asz007 |
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