3 papers
econ.EM2025
High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions
Zhaoxing Gao, Sihan Tu, Ruey S. Tsay
This paper investigates estimation and inference of a Spatial Arbitrage Pricing Theory (SAPT) model that integrates spatial interactions with multi-factor analysis, accommodating b…
cs.LG2025
VUS: Effective and Efficient Accuracy Measures for Time-Series Anomaly Detection
Paul Boniol, Ashwin K. Krishna, Marine Bruel +7
Anomaly detection (AD) is a fundamental task for time-series analytics with important implications for the downstream performance of many applications. In contrast to other domains…
stat.ME2024
Modeling High-Dimensional Dependent Data in the Presence of Many Explanatory Variables and Weak Signals
Zhaoxing Gao, Ruey S. Tsay
This article considers a novel and widely applicable approach to modeling high-dimensional dependent data when a large number of explanatory variables are available and the signal-…