Related papers: High-Dimensional Forecasting in the Presence of Un…

To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis one way to detect stochastic trends is to test if the series has unit roots, and for…

We address one of the important problems in Big Data, namely how to combine estimators from different subsamples by robust fusion procedures, when we are unable to deal with the whole sample. We propose a general framework based on the…

For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications. We start with the important…

It has been known since Elliott (1998) that standard methods of inference on cointegrating relationships break down entirely when autoregressive roots are near but not exactly equal to unity. We consider this problem within the framework of…

Mixtures of linear mixed models are widely used for modelling longitudinal data for which observation times differ between subjects. In typical applications, temporal trends are described using a basis expansion, with basis coefficients…

High-dimensional compositional data arise naturally in many applications such as metagenomic data analysis. The observed data lie in a high-dimensional simplex, and conventional statistical methods often fail to produce sensible results due…

Hierarchical forecasting is a key problem in many practical multivariate forecasting applications - the goal is to simultaneously predict a large number of correlated time series that are arranged in a pre-specified aggregation hierarchy.…

Big data features not only large volumes of data but also data with complicated structures. Complexity imposes unique challenges in big data analytics. Meeker and Hong (2014, Quality Engineering, pp. 102-116) provided an extensive…

We study statistical inference on unit roots and cointegration for time series in a Hilbert space. We develop statistical inference on the number of common stochastic trends embedded in the time series, i.e., the dimension of the…

The advent of modern technology, permitting the measurement of thousands of characteristics simultaneously, has given rise to floods of data characterized by many large or even huge datasets. This new paradigm presents extraordinary…

We address one of the important problems in Big Data, namely how to combine estimators from different subsamples by robust fusion procedures, when we are unable to deal with the whole sample.

Producing probabilistic forecasts for large collections of similar and/or dependent time series is a practically relevant and challenging task. Classical time series models fail to capture complex patterns in the data, and multivariate…

We define strong and weak unit roots for the functional AR(1) process and give some theoretical examples. It is shown that a functional form of cointegration occurs in which only a finite number of common trends exist. Using functional…

With the proliferation of modern high-resolution measuring instruments mounted on satellites, planes, ground-based vehicles and monitoring stations, a need has arisen for statistical methods suitable for the analysis of large spatial…

Robust estimation is much more challenging in high dimensions than it is in one dimension: Most techniques either lead to intractable optimization problems or estimators that can tolerate only a tiny fraction of errors. Recent work in…

Statistical matching is an effective method for estimating causal effects in which treated units are paired with control units with ``similar'' values of confounding covariates prior to performing estimation. In this way, matching helps…

Estimating causal effects under exogeneity hinges on two key assumptions: unconfoundedness and overlap. Researchers often argue that unconfoundedness is more plausible when more covariates are included in the analysis. Less discussed is the…

A fundamental challenge in semi-supervised learning lies in the observed data's disproportional size when compared with the size of the data collected with missing outcomes. An implicit understanding is that the dataset with missing…

Estimating large covariance and precision matrices are fundamental in modern multivariate analysis. The problems arise from statistical analysis of large panel economics and finance data. The covariance matrix reveals marginal correlations…

With the advent of massive data sets much of the computational science and engineering community has moved toward data-intensive approaches in regression and classification. However, these present significant challenges due to increasing…