@article{JMLR:v21:19-777,
  author  = {William B. Nicholson and Ines Wilms and Jacob Bien and David S. Matteson},
  title   = {High Dimensional Forecasting via Interpretable Vector Autoregression},
  journal = {Journal of Machine Learning Research},
  year    = {2020},
  volume  = {21},
  number  = {166},
  pages   = {1--52},
  url     = {http://jmlr.org/papers/v21/19-777.html}
}