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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Time-Varying Networks for High-Dimensional Time Series
高维 时间序列 时变网络
2023/4/25
We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over...
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Policy Choice in Time Series by Empirical Welfare Maximization
经验福利 最大化 时间序列 政策选择
2023/4/25
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Building on the statistical treatment choice framework, we propose Tim...