34 citations · 45 across the 18 of their papers we have counts for
3 papers · 1 filter
High-Dimensional Granger Causality for Climatic Attribution
Marina Friedrich, Luca Margaritella, Stephan Smeekes
In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcing…
Inference in Non-stationary High-Dimensional VARs
Alain Hecq, Luca Margaritella, Stephan Smeekes
In this paper we construct an inferential procedure for Granger causality in high-dimensional non-stationary vector autoregressive (VAR) models. Our method does not require knowled…
Sparse High-Dimensional Vector Autoregressive Bootstrap
Robert Adamek, Stephan Smeekes, Ines Wilms
We introduce a high-dimensional multiplier bootstrap for time series data based on capturing dependence through a sparsely estimated vector autoregressive model. We prove its consi…