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stat.ME2021
On the edge eigenvalues of the precision matrices of nonstationary autoregressive processes
Junho Yang
This paper investigates structural changes in the parameters of first-order autoregressive models by analyzing the edge eigenvalues of the precision matrices. Specifically, edge ei…
math.ST2021
A prediction perspective on the Wiener-Hopf equations for time series
Suhasini Subba Rao, Junho Yang
The Wiener-Hopf equations are a Toeplitz system of linear equations that naturally arise in several applications in time series. These include the update and prediction step of the…