6 papers
Detecting Impact of the Great Recession on Macroeconomic Indicators
Shuvrarghya Ghosh, Arkaprava Roy, Anindya Roy +1
We study structural changes in multivariate time series by estimating and comparing stationary graphs of macroeconomic time series before and after an economic crisis, such as the…
Bayesian Inference for High-dimensional Time Series with a Stationary Directed Acyclic Graphical Structure
Arkaprava Roy, Anindya Roy, Subhashis Ghosal
In multivariate time series analysis, understanding the underlying causal relationships among variables is often of interest for various applications. Directed acyclic graphs (DAGs…
Achieving Privacy Utility Balance for Multivariate Time Series Data
Gaurab Hore, Tucker McElroy, Anindya Roy
Utility-preserving data privatization is of utmost importance for data-producing agencies. The popular noise-addition privacy mechanism distorts autocorrelation patterns in time se…
Relational Graph in Vector Autoregression: A Case Study on the Effect of the Great Recession on Connectivity of Economic Indicators
Arkaprava Roy, Anindya Roy, Subhashis Ghosal
Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their t…
Bayesian Learning of Relational Graph in Semiparametric High-dimensional Time Series
Arkaprava Roy, Anindya Roy, Subhashis Ghosal
Time series data arising in many applications nowadays are high-dimensional. A large number of parameters describe features of these time series. We propose a novel approach to mod…
Note on Mean Vector Testing for High-Dimensional Dependent Observations
Seonghun Cho, Johan Lim, Deepak Nag Ayyala +2
For the mean vector test in high dimension, Ayyala et al.(2017,153:136-155) proposed new test statistics when the observational vectors are M dependent. Under certain conditions, t…