264 citations · 864 across the 22 of their papers we have counts for
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stat.ME2023★ 5 cited
Nonparametric data segmentation in multivariate time series via joint characteristic functions
Euan T. McGonigle, Haeran Cho
Modern time series data often exhibit complex dependence and structural changes which are not easily characterised by shifts in the mean or model parameters. We propose a nonparame…
stat.CO2023
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling
Dom Owens, Haeran Cho, Matteo Barigozzi
The package fnets for the R language implements the suite of methodologies proposed by Barigozzi et al. (2022) for the network estimation and forecasting of high-dimensional time s…