We propose a method to specify an appropriate yet parsimonious vector autoregressive moving average (ARMA) model for a given multivariate time series. By considering con-temporaneous linear ...

Journal of Applied Econometrics, Vol. 27, No. 6, Themes on Modelling Volatility (September-October 2012), pp. 934-955 (22 pages) This paper addresses the question of the selection of multivariate ...

This work, recently featured in IEEE Xplore, innovates two fundamental models in signal processing, dictionary learning and multivariate autoregressive, or MVAR, models.