2 papers
stat.ME2025
Order Selection in Vector Autoregression by Mean Square Information Criterion
Michael Hellstern, Ali Shojaie
Vector autoregressive (VAR) processes are ubiquitously used in economics, finance, and biology. Order selection is an essential step in fitting VAR models. While many order selecti…
stat.ME2025
Spectral Differential Network Analysis for High-Dimensional Time Series
Michael Hellstern, Byol Kim, Zaid Harchaoui +1
Spectral networks derived from multivariate time series data arise in many domains, from brain science to Earth science. Often, it is of interest to study how these networks change…