William B. Nicholson

An Improved Online Penalty Parameter Selection Procedure for $\ell_1$-Penalized Autoregressive with Exogenous Variables.

William B. Nicholson, Xiaohan Yan, Xiaohan Yan, 2020, 2010.07594.

High Dimensional Forecasting via Interpretable Vector Autoregression

William B. Nicholson, David S. Matteson, Jacob Bien, 2014, J. Mach. Learn. Res..

Locally stationary vector processes and adaptive multivariate modeling

William B. Nicholson, David S. Matteson, Nicholas A. James, 2013, 2013 IEEE International Conference on Acoustics, Speech and Signal Processing.

Structured Regularization for Large Vector Autoregression

William B. Nicholson, D. Matteson, J. Bien, 2014 .

An Improved Penalty Parameter Selection Procedure for the Lasso ARX

William B. Nicholson, Xiaohan Yan, 2015 .

VARX-L: Structured Regularization for Large Vector Autoregressions with Exogenous Variables

William B. Nicholson, David S. Matteson, Jacob Bien, 2015, 1508.07497.

Hierarchical Vector Autoregression

William B. Nicholson, David S. Matteson, D. Matteson, 2014 .

High Dimensional Forecasting via Interpretable Vector Autoregression

William B. Nicholson, David S. Matteson, D. Matteson, 2014, J. Mach. Learn. Res..

BigVAR: Tools for Modeling Sparse High-Dimensional Multivariate Time Series

William B. Nicholson, Jacob Bien, David Matteson, 2017, 1702.07094.

BigVAR User ’ s Guide Dimension Reduction Procedures for Multivariate Time Series

William B. Nicholson, 2015 .