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20142025
most citedDirect estimation and inference of differential Granger causality between two high-dimensional time series

1 citations · 1 across the 4 of their papers we have counts for

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Showing 2021 · stat.MEShow all

2 papers · 2 filters

stat.ME2021★ 1 cited

Direct estimation and inference of differential Granger causality between two high-dimensional time series

Yue Wang, Jing Ma, Ali Shojaie

Comparing dependence structures between two related multivariate time series is of fundamental interest in many scientific applications, where changes may occur in both directed te…

stat.ME2021

Generalized Matrix Decomposition Regression: Estimation and Inference for Two-way Structured Data

Yue Wang, Ali Shojaie, Timothy W. Randolph +2

This paper studies high-dimensional regression with two-way structured data. To estimate the high-dimensional coefficient vector, we propose the generalized matrix decomposition re…