3 papers
stat.AP2025
High-dimensional point forecast combinations for emergency department demand
Peihong Guo, Wen Ye Loh, Kenwin Maung +6
Current work on forecasting emergency department (ED) admissions focuses on disease aggregates or singular disease types. However, given differences in the dynamics of individual d…
econ.EM2021
Estimating high-dimensional Markov-switching VARs
Kenwin Maung
Maximum likelihood estimation of large Markov-switching vector autoregressions (MS-VARs) can be challenging or infeasible due to parameter proliferation. To accommodate situations…
econ.EM2020
Time-varying Forecast Combination for High-Dimensional Data
Bin Chen, Kenwin Maung
In this paper, we propose a new nonparametric estimator of time-varying forecast combination weights. When the number of individual forecasts is small, we study the asymptotic prop…