2 papers
stat.CO2025
Estimation of Spatial and Temporal Autoregressive Effects using LASSO - An Example of Hourly Particulate Matter Concentrations
Elkanah Nyabuto, Philipp Otto, Yarema Okhrin
We present an estimation procedure of spatial and temporal effects in spatiotemporal autoregressive panel data models using the Least Absolute Shrinkage and Selection Operator, LAS…
q-fin.ST2024
Consistent Estimation of the High-Dimensional Efficient Frontier
Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin +1
In this paper, we analyze the asymptotic behavior of the main characteristics of the mean-variance efficient frontier employing random matrix theory. Our particular interest covers…