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math.ST2021
Sparse principal component analysis for high-dimensional stationary time series
Kou Fujimori, Yuichi Goto, Yan Liu +1
We consider the sparse principal component analysis for high-dimensional stationary processes. The standard principal component analysis performs poorly when the dimension of the p…
stat.ME2021★ 1 cited
Statistical Inference for Local Granger Causality
Yan Liu, Masanobu Taniguchi, Hernando Ombao
Granger causality has been employed to investigate causality relations between components of stationary multiple time series. We generalize this concept by developing statistical i…