An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series. (arXiv:2209.01172v1 [stat.ME])

As a special infinite-order vector autoregressive (VAR) model, the vector
autoregressive moving average (VARMA) model can capture much richer temporal
patterns than the widely used finite-order VAR model. However, its practicality
has long been hindered by its non-identifiability, computational
intractability, and relative difficulty of interpretation. This paper
introduces a novel infinite-order VAR model that not only avoids the drawbacks
of the VARMA model but inherits its favorable temporal patterns. As another
attractive feature, the temporal and cross-sectional dependence structures of …

arxiv autoregressive model series time series vector