2 papers
math.ST2023
Universality in block dependent linear models with applications to nonparametric regression
Samriddha Lahiry, Pragya Sur
Over the past decade, characterizing the exact asymptotic risk of regularized estimators in high-dimensional regression has emerged as a popular line of work. This literature consi…
q-fin.ST2022
Exploring Financial Networks Using Quantile Regression and Granger Causality
Kara Karpman, Samriddha Lahiry, Diganta Mukherjee +1
In the post-crisis era, financial regulators and policymakers are increasingly interested in data-driven tools to measure systemic risk and to identify systemically important firms…