Tag: grouped

Time-varying Factor Augmented Vector Autoregression with Grouped Sparse Autoencoder arXiv:2503.04386v1 Announce Type: new Abstract: Recent economic events, including the global financial crisis and COVID-19 pandemic, have exposed limitations in linear Factor Augmented Vector Autoregressive (FAVAR) models for forecasting and structural analysis. Nonlinear dimension techniques, particularly autoencoders, have emerged as promising alternatives in a FAVAR framework,…