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implement varx by Lucas Parra #213

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behinger opened this issue Aug 6, 2024 · 1 comment

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behinger commented Aug 6, 2024 •

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I just stumbled over this awesome paper:
https://arxiv.org/pdf/2404.10834
with code here: https://github.com/lcparra/varx (check license)

I think we should explore this method - it looks really cool :)

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behinger commented Aug 6, 2024

if I understood correctly - this should be straight forward:
simply add a 1-lagged continuous TRF predictor to the model.

This will be much more interesting, once we got group-lasso integrated somehow... :S

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