Locally stationary vector processes and adaptive multivariate modeling. - David S. Matteson; Nicholas A. James; William B. Nicholson; Louis C. Segalini (ICASSP, 2013)

High Dimensional Forecasting via Interpretable Vector Autoregression. - William B. Nicholson; Ines Wilms; Jacob Bien; David S. Matteson (J. Mach. Learn. Res., 2020)