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stat.ME2024
Relational Graph in Vector Autoregression: A Case Study on the Effect of the Great Recession on Connectivity of Economic Indicators
Arkaprava Roy, Anindya Roy, Subhashis Ghosal
Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their t…
stat.ME2024
Bayesian Learning of Relational Graph in Semiparametric High-dimensional Time Series
Arkaprava Roy, Anindya Roy, Subhashis Ghosal
Time series data arising in many applications nowadays are high-dimensional. A large number of parameters describe features of these time series. We propose a novel approach to mod…