2 papers
stat.ME2025
Time-varying Parameter Tensor Vector Autoregression
Yiyong Luo, Jim E. Griffin
Time-varying parameter vector autoregression provides a flexible framework to capture structural changes within time series. However, when applied to high-dimensional data, this mo…
stat.ML2025
Time-varying Factor Augmented Vector Autoregression with Grouped Sparse Autoencoder
Yiyong Luo, Brooks Paige, Jim Griffin
Recent economic events, including the global financial crisis and COVID-19 pandemic, have exposed limitations in linear Factor Augmented Vector Autoregressive (FAVAR) models for fo…