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06/05/2022
Frequency Domain Statistical Inference for High-Dimensional Time Series
Analyzing time series in the frequency domain enables the development of...
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02/02/2022
Inverse covariance operators of multivariate nonstationary time series
For multivariate stationary time series many important properties, such ...
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12/14/2021
Dynamic Factor Models with Sparse VAR Idiosyncratic Components
We reconcile the two worlds of dense and sparse modeling by exploiting t...
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01/20/2021
Estimation of the Distribution of the Individual Reproduction Number: The Case of the COVID-19 Pandemic
We investigate the problem of estimating the distribution of the individ...
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07/30/2020
Impulse Response Analysis for Sparse High-Dimensional Time Series
We consider structural impulse response analysis for sparse high-dimensi...
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06/09/2020
Statistical Estimation of High-Dimensional Vector Autoregressive Models
High-dimensional vector autoregressive (VAR) models are important tools ...
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07/03/2018
Time Series Modeling on Dynamic Networks
We consider multivariate time series on dynamic networks with a fixed nu...
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12/20/2017