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Loubaton P, Rosuel A, Vallet P. On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime. J MULTIVARIATE ANAL 2022. [DOI: 10.1016/j.jmva.2022.105124] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/09/2022]
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Williams JP, Xie Y, Hannig J. The EAS approach for graphical selection consistency in vector autoregression models. CAN J STAT 2022. [DOI: 10.1002/cjs.11726] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/08/2022]
Affiliation(s)
- Jonathan P. Williams
- Department of Statistics, North Carolina State University Raleigh North Carolina USA
| | - Yuying Xie
- Department of Statistics and Probability, Department of Computational Mathematics, Science and Engineering, Michigan State University East Lansing Michigan USA
| | - Jan Hannig
- Department of Statistics and Operations Research, University of North Carolina Chapel Hill North Carolina USA
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Barigozzi M, Farnè M. An algebraic estimator for large spectral density matrices. J Am Stat Assoc 2022. [DOI: 10.1080/01621459.2022.2126780] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/14/2022]
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Time series graphical lasso and sparse VAR estimation. Comput Stat Data Anal 2022. [DOI: 10.1016/j.csda.2022.107557] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/20/2022]
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Ouyang K, Hou Y, Zhang Y, Ma C, Zhou S. Knowledge transfer via distillation from time and frequency domain for time series classification. APPL INTELL 2022. [DOI: 10.1007/s10489-022-03485-5] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/02/2022]
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Li Z, Rosen O, Ferrarelli F, Krafty RT. Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series. J Comput Graph Stat 2021; 30:794-807. [DOI: 10.1080/10618600.2020.1868305] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/22/2022]
Affiliation(s)
- Zeda Li
- Paul H. Chook Department of Information Systems and Statistics, Baruch College, The City University of New York, New York, NY
| | - Ori Rosen
- Department of Mathematical Sciences, University of Texas at El Paso, El Paso, TX
| | - Fabio Ferrarelli
- Department of Psychiatry, University of Pittsburgh, Pittsburgh, PA
| | - Robert T. Krafty
- Department of Biostatistics and Bioinformatics, Emory University, Atlanta, GA
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Zhang D, Wu WB. Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes. Ann Stat 2021. [DOI: 10.1214/20-aos1954] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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