20 citations · 21 across the 6 of their papers we have counts for
4 papers · 1 filter
Structural Discovery with Partial Ordering Information for Time-Dependent Data with Convergence Guarantees
Jiahe Lin, Huitian Lei, George Michailidis
Structural discovery amongst a set of variables is of interest in both static and dynamic settings. In the presence of lead-lag dependencies in the data, the dynamics of the system…
Approximate Factor Models with Strongly Correlated Idiosyncratic Errors
Jiahe Lin, George Michailidis
We consider the estimation of approximate factor models for time series data, where strong serial and cross-sectional correlations amongst the idiosyncratic component are present.…
Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models
Jiahe Lin, George Michailidis
A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables and latent factors $…
Regularized Estimation and Testing for High-Dimensional Multi-Block Vector-Autoregressive Models
Jiahe Lin, George Michailidis
Dynamical systems comprising of multiple components that can be partitioned into distinct blocks originate in many scientific areas. A pertinent example is the interactions between…