27 citations · 29 across the 3 of their papers we have counts for
3 papers
stat.CO2023
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling
Dom Owens, Haeran Cho, Matteo Barigozzi
The package fnets for the R language implements the suite of methodologies proposed by Barigozzi et al. (2022) for the network estimation and forecasting of high-dimensional time s…
stat.ME2022★ 2 cited
High-dimensional data segmentation in regression settings permitting temporal dependence and non-Gaussianity
Haeran Cho, Dom Owens
We propose a data segmentation methodology for the high-dimensional linear regression problem where regression parameters are allowed to undergo multiple changes. The proposed meth…
stat.ME2022★ 27 cited
FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series
Matteo Barigozzi, Haeran Cho, Dom Owens
We propose FNETS, a methodology for network estimation and forecasting of high-dimensional time series exhibiting strong serial- and cross-sectional correlations. We operate under…