activity
20192025
most citedDo We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

7 citations · 13 across the 8 of their papers we have counts for

collaborators
Showing 2019Show all

2 papers · 1 filter

math.ST2019★ 2 cited

Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations

Ricardo P. Masini, Marcelo C. Medeiros, Eduardo F. Mendes

There has been considerable advance in understanding the properties of sparse regularization procedures in high-dimensional models. In time series context, it is mostly restricted…

math.OC2019

Constrained Polynomial Likelihood

Caio Almeida, Ricardo Masini, Paul Schneider

We develop a non-negative polynomial minimum-norm likelihood ratio (PLR) of two distributions of which only moments are known. The sample PLR converges to the unknown population PL…