3 citations · 3 across the 3 of their papers we have counts for
3 papers
stat.ME2024★ 3 cited
Vector AutoRegressive Moving Average Models: A Review
Marie-Christine Düker, David S. Matteson, Ruey S. Tsay +1
Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series. While VARMA models encompass the Vect…
stat.ME2024
Time Series Forecasting with Many Predictors
Shuo-Chieh Huang, Ruey S. Tsay
We propose a novel approach for time series forecasting with many predictors, referred to as the GO-sdPCA, in this paper. The approach employs a variable selection method known as…
econ.EM2023
Determination of the effective cointegration rank in high-dimensional time-series predictive regressions
Puyi Fang, Zhaoxing Gao, Ruey S. Tsay
This paper proposes a new approach to identifying the effective cointegration rank in high-dimensional unit-root (HDUR) time series from a prediction perspective using reduced-rank…