2 papers
stat.ME2025
Sparse and Low-bias Estimation of High Dimensional Vector Autoregressive Models
Trevor D. Ruiz, Sharmodeep Bhattacharyya, Mahesh Balasubramanian +1
Vector autoregressive (VAR) models are widely used for causal discovery and forecasting in multivariate time series analysis. In the high-dimensional setting, which is increasingly…
stat.ME2025
Sparse estimation of parameter support sets for generalized vector autoregressions by resampling and model aggregation
Trevor D. Ruiz, Sharmodeep Bhattacharyya, Sarah C. Emerson
The central problem we address in this work is estimation of the parameter support set S, the set of indices corresponding to nonzero parameters, in the context of a sparse paramet…