POVAR2.jl

This repository contains the code associated with the following paper:

Minimax Estimation of Partially-Observed Vector AutoRegressions, Dalle and De Castro (2022)

Running the experiments

To reproduce the results presented in the paper:

1. Download the Julia programming language.
2. Clone or download the present repository.
3. Open a Julia REPL in the experiments folder.
4. Run include("plots.jl") in the Julia REPL.
5. The plots will appear in the experiments/img folder.