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stat.ME2026
Model Selection for Unit-root Time Series with Many Predictors
Shuo-Chieh Huang, Ching-Kang Ing, Ruey S. Tsay
This paper studies model selection for general unit-root time series, including the case with many exogenous predictors. We propose a new model selection algorithm, FHTD, that leve…
stat.ME2025
High-Dimensional Knockoffs Inference for Time Series Data
Chien-Ming Chi, Yingying Fan, Ching-Kang Ing +1
We make some initial attempt to establish the theoretical and methodological foundation for the model-X knockoffs inference for time series data. We suggest the method of time seri…