Regularized estimation in sparse high-dimensional time series models

17 November 2013

Papers citing "Regularized estimation in sparse high-dimensional time series models"

27 / 27 papers shown

Title
Transfer Learning for High-dimensional Reduced Rank Time Series Models Mingliang Ma Abolfazl Safikhani AI4TS 38 0 0 22 Apr 2025
Lag selection and estimation of stable parameters for multiple autoregressive processes through convex programming Somnath Chakraborty Johannes Lederer R. Sachs 21 0 0 03 Mar 2023
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling Dominic Owens Haeran Cho M. Barigozzi 30 1 0 27 Jan 2023
Criteria for Classifying Forecasting Methods Tim Januschowski Jan Gasthaus Bernie Wang David Salinas Valentin Flunkert Michael Bohlke-Schneider Laurent Callot AI4TS 16 173 0 07 Dec 2022
Estimation of High-Dimensional Markov-Switching VAR Models with an Approximate EM Algorithm Xiudi Li Abolfazl Safikhani Ali Shojaie 27 2 0 14 Oct 2022
Benign Overfitting in Time Series Linear Models with Over-Parameterization Shogo H. Nakakita Masaaki Imaizumi AI4TS 13 5 0 18 Apr 2022
A generalized likelihood based Bayesian approach for scalable joint regression and covariance selection in high dimensions Srijata Samanta Kshitij Khare George Michailidis 16 7 0 14 Jan 2022
High-Dimensional Knockoffs Inference for Time Series Data Chien-Ming Chi Yingying Fan C. Ing Jinchi Lv AI4TS 22 6 0 18 Dec 2021
Efficient and passive learning of networked dynamical systems driven by non-white exogenous inputs Harish Doddi Deepjyoti Deka Saurav Talukdar M. Salapaka 21 6 0 02 Oct 2021
A Bernstein-type Inequality for High Dimensional Linear Processes with Applications to Robust Estimation of Time Series Regressions Linbo Liu Danna Zhang AI4TS 32 1 0 21 Sep 2021
Graphical models for nonstationary time series Sumanta Basu S. Subba Rao 68 6 0 17 Sep 2021
Sparse principal component analysis for high-dimensional stationary time series Kou Fujimori Yuichi Goto Y. Liu M. Taniguchi 23 2 0 01 Sep 2021
Wavelet eigenvalue regression in high dimensions P. Abry B. C. Boniece G. Didier H. Wendt 17 4 0 09 Aug 2021
Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package Peiliang Bai Yue Bai Abolfazl Safikhani George Michailidis 23 1 0 23 May 2021
Granger Causality: A Review and Recent Advances Ali Shojaie E. Fox CML AI4TS 30 257 0 05 May 2021
Lasso Inference for High-Dimensional Time Series R. Adámek Stephan Smeekes Ines Wilms AI4TS 18 33 0 21 Jul 2020
Statistical Inference for Networks of High-Dimensional Point Processes Xu Wang Mladen Kolar Ali Shojaie 18 12 0 15 Jul 2020
Online Debiasing for Adaptively Collected High-dimensional Data with Applications to Time Series Analysis Y. Deshpande Adel Javanmard M. Mehrabi AI4TS 28 31 0 04 Nov 2019
High-Dimensional Bernoulli Autoregressive Process with Long-Range Dependence Parthe Pandit Mojtaba Sahraee-Ardakan Arash A. Amini S. Rangan A. Fletcher 19 0 0 19 Mar 2019
Foundations of Sequence-to-Sequence Modeling for Time Series Vitaly Kuznetsov Zelda E. Mariet AI4TS BDL 15 56 0 09 May 2018
Missing Data in Sparse Transition Matrix Estimation for Sub-Gaussian Vector Autoregressive Processes Amin Jalali Rebecca Willett 49 4 0 26 Feb 2018
SILVar: Single Index Latent Variable Models Jonathan Mei José M. F. Moura 15 24 0 09 May 2017
Granger Causality in Multi-variate Time Series using a Time Ordered Restricted Vector Autoregressive Model Elsa Siggiridou D. Kugiumtzis CML 11 97 0 11 Nov 2015
Signal Processing on Graphs: Causal Modeling of Unstructured Data Jonathan Mei José M. F. Moura CML AI4TS 25 191 0 28 Feb 2015
Estimation of Large Covariance and Precision Matrices from Temporally Dependent Observations Hai Shu B. Nan 26 20 0 16 Dec 2014
Discovering Graphical Granger Causality Using the Truncating Lasso Penalty Ali Shojaie George Michailidis CML 68 214 0 03 Jul 2010
Thresholded Lasso for high dimensional variable selection and statistical estimation Shuheng Zhou 110 50 0 08 Feb 2010