92 citations · 185 across the 21 of their papers we have counts for
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stat.ME2021★ 3 cited
Rate-Optimal Robust Estimation of High-Dimensional Vector Autoregressive Models
Di Wang, Ruey S. Tsay
High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not o…
stat.ME2021
Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
Zhaoxing Gao, Ruey S. Tsay
This paper proposes a hierarchical approximate-factor approach to analyzing high-dimensional, large-scale heterogeneous time series data using distributed computing. The new method…