2 papers
stat.ME2023
Consistent Causal Inference for High-Dimensional Time Series
Francesco Cordoni, Alessio Sancetta
A methodology for high dimensional causal inference in a time series context is introduced. It is assumed that there is a monotonic transformation of the data such that the dynamic…
cs.LG2023
Action-State Dependent Dynamic Model Selection
Francesco Cordoni, Alessio Sancetta
A model among many may only be best under certain states of the world. Switching from a model to another can also be costly. Finding a procedure to dynamically choose a model in th…