348 citations · 1.2k across the 81 of their papers we have counts for
5 papers · 2 filters
A General Modeling Framework for Network Autoregressive Processes
Hang Yin, Abolfazl Safikhani, George Michailidis
The paper develops a general flexible framework for Network Autoregressive Processes (NAR), wherein the response of each node linearly depends on its past values, a prespecified li…
Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
Peiliang Bai, Abolfazl Safikhani, George Michailidis
We study the problem of detecting and locating change points in high-dimensional Vector Autoregressive (VAR) models, whose transition matrices exhibit low rank plus sparse structur…
A Fast Detection Method of Break Points in Effective Connectivity Networks
Peiliang Bai, Abolfazl Safikhani, George Michailidis
There is increasing interest in identifying changes in the underlying states of brain networks. The availability of large scale neuroimaging data creates a strong need to develop f…
Inference for Change Points in High Dimensional Mean Shift Models
Abhishek Kaul, George Michailidis
We consider the problem of constructing confidence intervals for the locations of change points in a high-dimensional mean shift model. To that end, we develop a locally refitted l…
Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package
Peiliang Bai, Yue Bai, Abolfazl Safikhani +1
Vector Auto-Regressive (VAR) models capture lead-lag temporal dynamics of multivariate time series data. They have been widely used in macroeconomics, financial econometrics, neuro…