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stat.ME2025
Joint Learning of Panel VAR models with Low Rank and Sparse Structure
Yuchen Xu, George Michailidis
Panel vector auto-regressive (VAR) models are widely used to capture the dynamics of multivariate time series across different subpopulations, where each subpopulation shares a com…
stat.ME2024
A Functional Coefficients Network Autoregressive Model
Hang Yin, Abolfazl Safikhani, George Michailidis
The paper introduces a flexible model for the analysis of multivariate nonlinear time series data. The proposed Functional Coefficients Network Autoregressive (FCNAR) model conside…