3 papers
stat.ME2026
Quantile Vector Autoregression without Crossing
Tomohiro Ando, Tadao Hoshino, Ruey Tsay
This paper considers estimation and model selection of quantile vector autoregression (QVAR). Conventional quantile regression often yields undesirable crossing quantile curves, vi…
stat.ME2026
Model Selection for Unit-root Time Series with Many Predictors
Shuo-Chieh Huang, Ching-Kang Ing, Ruey S. Tsay
This paper studies model selection for general unit-root time series, including the case with many exogenous predictors. We propose a new model selection algorithm, FHTD, that leve…
stat.ME2025
Temporal Wasserstein Imputation: A Versatile Method for Time Series Imputation
Shuo-Chieh Huang, Tengyuan Liang, Ruey S. Tsay
Missing data can significantly hamper standard time series analysis, yet they occur frequently in applications. In this paper, we introduce temporal Wasserstein imputation, a novel…