348 citations · 953 across the 15 of their papers we have counts for
4 papers · 1 filter
Low Rank and Structured Modeling of High-dimensional Vector Autoregressions
Sumanta Basu, Xianqi Li, George Michailidis
Network modeling of high-dimensional time series data is a key learning task due to its widespread use in a number of application areas, including macroeconomics, finance and neuro…
Large Spectral Density Matrix Estimation by Thresholding
Yiming Sun, Yige Li, Amy Kuceyeski +1
Spectral density matrix estimation of multivariate time series is a classical problem in time series and signal processing. In modern neuroscience, spectral density based metrics a…
Signed iterative random forests to identify enhancer-associated transcription factor binding
Karl Kumbier, Sumanta Basu, Erwin Frise +4
Standard ChIP-seq peak calling pipelines seek to differentiate biochemically reproducible signals of individual genomic elements from background noise. However, reproducibility alo…
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
Liao Zhu, Sumanta Basu, Robert A. Jarrow +1
The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor…