2 citations · 4 across the 11 of their papers we have counts for
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Change-point Analysis in Financial Networks
Sayantan Banerjee, Kousik Guhathakurta
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysi…
Bayesian Structure Learning in Graphical Models using Shrinkage priors
Sayantan Banerjee
We consider the problem of learning the structure of a high dimensional precision matrix under sparsity assumptions. We propose to use a shrinkage prior, called the DL-graphical pr…
Inert drift system in a viscous fluid: Steady state asymptotics and exponential ergodicity
Sayan Banerjee, Brendan Brown
We analyze a system of stochastic differential equations describing the joint motion of a massive (inert) particle in a viscous fluid in the presence of a gravitational field and a…
Parameter and dimension dependence of convergence rates to stationarity for Reflecting Brownian Motions
Sayan Banerjee, Amarjit Budhiraja
We obtain rates of convergence to stationarity in L^1-Wasserstein distance for a d-dimensional reflected Brownian motion (RBM) in the nonnegative orthant that are explicit in the d…