24 citations · 29 across the 9 of their papers we have counts for
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math.ST2022
Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM
Jiaqi Li, Likai Chen, Weining Wang +1
We propose an inference method for detecting multiple change points in high-dimensional time series, targeting dense or spatially clustered signals. Our method aggregates moving su…
econ.EM2022
Policy Choice in Time Series by Empirical Welfare Maximization
Toru Kitagawa, Weining Wang, Mengshan Xu
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Overcoming challenges unique to time-series settin…