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stat.ML2023
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff +1
In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series…
stat.ML2023★ 1 cited
OFTER: An Online Pipeline for Time Series Forecasting
Nikolas Michael, Mihai Cucuringu, Sam Howison
We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and Generali…