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stat.CO2026
GPU-accelerated Regularized Vector Multiplicative Error Models for Positive-valued Financial Time Series
Rohan Hemant Chhatre, Chiranjit Dutta, Nalini Ravishanker +1
The logarithmic vector multiplicative error model (log-vMEM) provides a methodology for modeling and forecasting multivariate positive-valued time series. However, the number of au…
stat.ME2026
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…