Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Bien and Matteson (2017) <arXiv:1412.5250v2> and Wilms, Basu, Bien and Matteson (2017) <arXiv:1707.09208>.
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