Related papers: Interpretable Vector AutoRegressions with Exogenou…
Standard high-dimensional regression methods assume that the underlying coefficient vector is sparse. This might not be true in some cases, in particular in presence of hidden, confounding variables. Such hidden confounding can be…
We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S.…
This paper study sparse classification problems. We show that under single-index models, vanilla Lasso could give good estimate of unknown parameters. With this result, we see that even if the model is not linear, and even if the response…
Local projections (LP) and vector autoregressions (VAR) are the two standard tools for impulse response analysis, but they often display a finite-sample trade-off: LP is typically less biased but more volatile, while VAR is more precise but…
Fitting sparse models to high-dimensional time series is an important area of statistical inference. In this paper we consider sparse vector autoregressive models and develop appropriate bootstrap methods to infer properties of such…
This paper introduces a flexible time-varying network vector autoregressive model framework for large-scale time series. A latent group structure is imposed on the heterogeneous and node-specific time-varying momentum and network spillover…
A widely applied approach to causal inference from a non-experimental time series $X$, often referred to as "(linear) Granger causal analysis", is to regress present on past and interpret the regression matrix $\hat{B}$ causally. However,…
This paper proposes a bootstrap-assisted procedure to conduct simultaneous inference for high dimensional sparse linear models based on the recent de-sparsifying Lasso estimator (van de Geer et al. 2014). Our procedure allows the dimension…
Visual Autoregressive (VAR) models have emerged as a powerful paradigm for image synthesis by performing hierarchical next-scale prediction. However, VAR models are inherently prone to cascading error propagation, where subtle coarse-scale…
We study one particular type of multivariate spatial autoregression (MSAR) model with diverging dimensions in both responses and covariates. This makes the usual MSAR models no longer applicable due to the high computational cost. To…
Autoregressive attention-based time series forecasting (TSF) has drawn increasing interest, with mechanisms like linear attention sometimes outperforming vanilla attention. However, deeper Transformer architectures frequently misalign with…
Visual Autoregressive (VAR) models have recently garnered significant attention for their innovative next-scale prediction paradigm, offering notable advantages in both inference efficiency and image quality compared to traditional…
We consider a class of vector autoregressive models with banded coefficient matrices. The setting represents a type of sparse structure for high-dimensional time series, though the implied autocovariance matrices are not banded. The…
This paper is concerned with high-dimensional panel data models where the number of regressors can be much larger than the sample size. Under the assumption that the true parameter vector is sparse we propose a panel-Lasso estimator and…
Least absolute shrinkage and selection operator (Lasso), a popular method for high-dimensional regression, is now used widely for estimating high-dimensional time series models such as the vector autoregression (VAR). Selecting its tuning…
We present a windowed technique to learn parsimonious time-varying autoregressive models from multivariate timeseries. This unsupervised method uncovers interpretable spatiotemporal structure in data via non-smooth and non-convex…
Causal structure discovery in complex dynamical systems is an important challenge for many scientific domains. Although data from (interventional) experiments is usually limited, large amounts of observational time series data sets are…
This article studies identification and estimation for the network vector autoregressive model with nonstationary regressors. In particular, network dependence is characterized by a nonstochastic adjacency matrix. The information set…
We consider the problem of sparse variable selection on high dimension heterogeneous data sets, which has been taking on renewed interest recently due to the growth of biological and medical data sets with complex, non-i.i.d. structures and…
With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed…