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03/03/2023
Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms
On-demand service platforms face a challenging problem of forecasting a ...
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02/02/2023
Sparse High-Dimensional Vector Autoregressive Bootstrap
We introduce a high-dimensional multiplier bootstrap for time series dat...
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01/25/2023
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used...
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09/15/2022
The Influence Function of Graphical Lasso Estimators
The precision matrix that encodes conditional linear dependency relation...
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09/07/2022
Local Projection Inference in High Dimensions
In this paper, we estimate impulse responses by local projections in hig...
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07/05/2022
Regularized Predictive Models for Beef Eating Quality of Individual Meals
Faced with changing markets and evolving consumer demands, beef industri...
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07/22/2021
Graphical Influence Diagnostics for Changepoint Models
Changepoint models enjoy a wide appeal in a variety of disciplines to mo...
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02/23/2021
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics betwe...
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01/29/2021
Tree-based Node Aggregation in Sparse Graphical Models
High-dimensional graphical models are often estimated using regularizati...
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07/23/2020
bootUR: An R Package for Bootstrap Unit Root Tests
Unit root tests form an essential part of any time series analysis. We p...
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07/21/2020
Lasso Inference for High-Dimensional Time Series
The desparsified lasso is a high-dimensional estimation method which pro...
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11/09/2017