4 papers
The Regularization Parameter: Sparse Precision Matrix Estimation
Aryan Eftekhari, Daniel Sergio Vega, Ernst-Jan Camiel Wit +1
Sparse precision matrix estimation provides an interpretable and computationally efficient framework for modeling conditional dependencies in high-dimensional, low-sample-size data…
Scalable Global Solution Techniques for High-Dimensional Models in Dynare
Aryan Eftekhari, Michel Juillard, Normann Rion +1
For over three decades, Dynare has been a cornerstone of dynamic stochastic modeling in economics, relying primarily on perturbation-based local solution methods. However, these te…
Building Interpretable Climate Emulators for Economics
Aryan Eftekhari, Doris Folini, Aleksandra Friedl +3
We introduce a framework for developing efficient and interpretable climate emulators (CEs) for economic models of climate change. The paper makes two main contributions. First, we…
High-Dimensional Dynamic Stochastic Model Representation
Aryan Eftekhari, Simon Scheidegger
We propose a scalable method for computing global solutions of nonlinear, high-dimensional dynamic stochastic economic models. First, within a time iteration framework, we approxim…