4 papers
Analytic Standard Errors for Latent Gaussian Discrete-Valued Multivariate Time Series
Christopher M. Crawford, Marie-Christine Düker, Younghoon Kim +3
Unlike their continuous-valued counterparts, there are no universally preferred methodologies for modeling discrete-valued time series. This is especially problematic in fields suc…
Latent community paths in VAR-type models via dynamic directed spectral co-clustering
Younghoon Kim, Changryong Baek
This paper proposes a dynamic network framework for uncovering latent community paths in high-dimensional VAR-type models. By embedding a degree-corrected stochastic co-blockmodel…
Joint modeling and inference of multiple-subject high-dimensional sparse vector autoregressive models
Younghoon Kim, Zachary F. Fisher, Vladas Pipiras
The multiple-subject vector autoregression (multi-VAR) model captures heterogeneous network Granger causality across subjects by decomposing individual sparse VAR transition matric…
Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series
Younghoon Kim, Marie-Christine Düker, Zachary F. Fisher +1
This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic f…