3 citations · 3 across the 3 of their papers we have counts for
4 papers
Scalable Regularized Vector Multiplicative Error Models for Positive-valued Financial Time Series
Rohan Hemant Chhatre, Chiranjit Dutta, Nalini Ravishanker +1
The logarithmic multiplicative error model (log-vMEM) has been useful in modeling and forecasting multivariate positive-valued financial time series. The number of parameters grow…
Inference for High-Dimensional Sparse Spectral Precision Matrices
Navonil Deb, Younghoon Kim, Sumanta Basu
Statistical inference for the spectral precision matrix at a given frequency allows us to assess frequency-specific conditional relationships among the components of a stationary m…
Counterfactual Forecasting for Panel Data
Navonil Deb, Raaz Dwivedi, Sumanta Basu
We address the challenge of forecasting counterfactual outcomes in a panel data with missing entries and temporally dependent latent factors -- a common scenario in causal inferenc…
Regularized Estimation of Sparse Spectral Precision Matrices
Navonil Deb, Amy Kuceyeski, Sumanta Basu
Estimation of a sparse spectral precision matrix, the inverse of a spectral density matrix, is a canonical problem in frequency-domain analysis of high-dimensional time series (HDT…