363 citations · 989 across the 32 of their papers we have counts for
3 papers · 1 filter
High Dimensional Forecasting via Interpretable Vector Autoregression
William B. Nicholson, Ines Wilms, Jacob Bien +1
Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparamete…
Sparse Partially Linear Additive Models
Yin Lou, Jacob Bien, Rich Caruana +1
The generalized partially linear additive model (GPLAM) is a flexible and interpretable approach to building predictive models. It combines features in an additive manner, allowing…
Convex Banding of the Covariance Matrix
Jacob Bien, Florentina Bunea, Luo Xiao
We introduce a new sparse estimator of the covariance matrix for high-dimensional models in which the variables have a known ordering. Our estimator, which is the solution to a con…