3 papers
stat.ME2026
Multiscale Dynamic Dependence Estimation over Networks
Cristian F. Jiménez-Varón, Marina I. Knight, Matthew A. Nunes
In many settings, observed multivariate time series are often nonstationary in nature, i.e., their second order properties vary over time. An additional feature is that their cross…
stat.ME2026
Interpretable models for forecasting high-dimensional functional time series
Han Lin Shang, Cristian F. Jiménez-Varón
We study the modeling and forecasting of high-dimensional functional time series, which can be temporally dependent and cross-sectionally correlated. Central to our implementation…
stat.ME2025
Frequency-Domain Analysis of Time Series with Network-Structured Dependence: Application to Global Bank Connectedness
Cristian F. Jiménez-Varón, Marina I. Knight
Financial spillovers in interconnected systems, such as global banking networks, require tools that capture temporal and frequency dynamics, while incorporating the underlying netw…