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math.ST2024
Change Point Detection in Precision Matrices with D-trace Loss
Ying Lin, Benjamin Poignard, Ting Kei Pong +1
We consider the problem of estimating a time-varying sparse precision matrix, which is assumed to evolve in a piecewise constant manner. Building upon the Group Fused LASSO and LAS…
econ.EM2024
Factor multivariate stochastic volatility models of high dimension
Benjamin Poignard, Manabu Asai
Building upon factor decomposition to overcome the curse of dimensionality inherent in multivariate volatility processes, we develop a factor model-based multivariate stochastic vo…