4 papers
Outlier detection in state-space models using mean-shift penalisation
Rajan Shankar, Ines Wilms, Jakob Raymaekers +1
State-space models (SSMs) provide a flexible framework for modelling time series data, but their reliance on Gaussian error assumptions makes them highly sensitive to outliers. We…
Autotune: fast, accurate, and automatic tuning parameter selection for Lasso
Tathagata Sadhukhan, Ines Wilms, Stephan Smeekes +1
Least absolute shrinkage and selection operator (Lasso), a popular method for high-dimensional regression, is now used widely for estimating high-dimensional time series models suc…
Estimation of Latent Group Structures in Time-Varying Panel Data Models
Paul Haimerl, Stephan Smeekes, Ines Wilms
We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly…
Transmission Channel Analysis in Dynamic Models
Enrico Wegner, Lenard Lieb, Stephan Smeekes +1
We propose a framework for analysing transmission channels in a large class of dynamic models. We formulate our approach both using graph theory and potential outcomes, which we sh…