2 citations · 3 across the 4 of their papers we have counts for
3 papers · 1 filter
Causal Lag Structure Discovery in Confounded Time Series via Orthogonalized Adaptive Estimation
Hong Kiat Tan, Isaac-Neil Zanoria, James Chen +2
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible con…
Factor-Driven Network Informed Restricted Vector Autoregression
Brendan Martin, Mihai Cucuringu, Alessandra Luati +1
High-dimensional financial time series often exhibit complex dependence relations driven by both common market structures and latent connections among assets. To capture these char…
NIRVAR: Network Informed Restricted Vector Autoregression
Brendan Martin, Francesco Sanna Passino, Mihai Cucuringu +1
High-dimensional panels of time series often arise in finance and macroeconomics, where co-movements within groups of panel components occur. Extracting these groupings from the da…