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math.ST2014
Mean vector testing for high dimensional dependent observations
Deepak Nag Ayyala, Junyong Park, Anindya Roy
When testing for the mean vector in a high dimensional setting, it is generally assumed that the observations are independently and identically distributed. However if the data are…
math.ST2014★ 3 cited
Estimation of Causal Invertible VARMA Models
Anindya Roy, Tucker S. McElroy, Peter Linton
We present a re-parameterization of vector autoregressive moving average (VARMA) models that allows estimation of parameters under the constraints of causality and invertibility. T…