2 papers
econ.EM2025
Identification and estimation of structural vector autoregressive models via LU decomposition
Masato Shimokawa, Kou Fujimori
Structural vector autoregressive (SVAR) models are widely used to analyze the simultaneous relationships between multiple time-dependent data. Various statistical inference methods…
math.ST2024
Two step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters
Kou Fujimori, Koji Tsukuda
We consider the sparse estimation for stochastic processes with possibly infinite-dimensional nuisance parameters, by using the Dantzig selector which is a sparse estimation method…