VARMLE {hdiVAR}

generalized Dantzig selector for transition matrix update in maximization step

Description

Sparse estimation of transtion matrix in vector autoregression given conditional autocovariance matrices.

Usage

VARMLE(S0, S1, tol)

Arguments

S0

a p by p matrix; average (over time points) of conditional expectation of x_t x_t^\top on y_1, \ldots, y_T and parameter estimates, obtained from expectation step.

S1

a p by p matrix; average (over time points) of conditional expectation of x_t x_{t+1}^\topon y_1, \ldots, y_T and parameter estimates, obtained from expectation step.

tol

tolerance parameter in Dantzig selector.

Value

Sparse estimate of transition matrix by Dantzig selector.

Author(s)

Xiang Lyu, Jian Kang, Lexin Li