2 papers
econ.EM2019
Boosting High Dimensional Predictive Regressions with Time Varying Parameters
Kashif Yousuf, Serena Ng
High dimensional predictive regressions are useful in wide range of applications. However, the theory is mainly developed assuming that the model is stationary with time invariant…
stat.ME2018
Partial Distance Correlation Screening for High Dimensional Time Series
Kashif Yousuf, Yang Feng
High dimensional time series datasets are becoming increasingly common in various fields such as economics, finance, meteorology, and neuroscience. Given this ubiquity of time seri…