3 papers
math.ST2026
Spectral clustering of network time series via the sample covariance matrix
Brendan Martin, Joshua Agterberg, Mihai Cucuringu +2
Spectral clustering for community detection is analysed in multivariate time series models whose dependence structure is determined by an unobserved stochastic blockmodel. We estab…
stat.ME2025
Factor-Driven Network Informed Restricted Vector Autoregression
Brendan Martin, Mihai Cucuringu, Alessandra Luati +1
High-dimensional financial time series often exhibit complex dependence relations driven by both common market structures and latent connections among assets. To capture these char…
stat.ME2025
NIRVAR: Network Informed Restricted Vector Autoregression
Brendan Martin, Francesco Sanna Passino, Mihai Cucuringu +1
High-dimensional panels of time series often arise in finance and macroeconomics, where co-movements within groups of panel components occur. Extracting these groupings from the da…