348 citations · 1.2k across the 81 of their papers we have counts for
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Approximate Factor Models with Strongly Correlated Idiosyncratic Errors
Jiahe Lin, George Michailidis
We consider the estimation of approximate factor models for time series data, where strong serial and cross-sectional correlations amongst the idiosyncratic component are present.…
Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models
Jiahe Lin, George Michailidis
A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables and latent factors $…
Spiked Laplacian Graphs: Bayesian Community Detection in Heterogeneous Networks
Leo L Duan, George Michailidis, Mingzhou Ding
In network data analysis, it is becoming common to work with a collection of graphs that exhibit \emph{heterogeneity}. For example, neuroimaging data from patient cohorts are incre…
A Bayesian Approach to Joint Estimation of Multiple Graphical Models
Peyman Jalali, Kshitij Khare, George Michailidis
The problem of joint estimation of multiple graphical models from high dimensional data has been studied in the statistics and machine learning literature, due to its importance in…