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The Vector Auto-Regressive (VAR) model is commonly used to model multivariate time series, and there are many penalized methods to handle high dimensionality. However in terms of spatio-temporal data, most methods do not take the spatial and temporal structure of the data into consideration, which may lead to unreliable network detection and inaccurate forecasts. This paper proposes a data-driven weighted l1 regularized approach for spatio-temporal VAR model. Extensive simulation studies aredoi:10.5705/ss.202020.0056 fatcat:sq6gamtyendnjhahmepqwv7nv4