Simultaneous estimation and group identification for network vector autoregressive model with heterogeneous nodes

A network perspective of comovement and structural change: Evidence from the Chinese stock market

(2021) Chuangxia Huang et al.   International Review of Financial Analysis

Information transmission between large shareholders and stock volatility

(2021) Jie Li et al.   North American Journal of Economics and Finance

Entrywise eigenvector analysis of random matrices with low expected rank

(2020) Emmanuel Abbe et al.   ANNALS OF STATISTICS

Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

(2020) Jianqing Fan et al.   JOURNAL OF ECONOMETRICS

High-dimensional vector autoregressive time series modeling via tensor decomposition

(2020) Di Wang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Portal nodes screening for large scale social networks

(2019) Xuening Zhu et al.   JOURNAL OF ECONOMETRICS

Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions

(2019) Sumanta Basu et al.   IEEE TRANSACTIONS ON SIGNAL PROCESSING

Sub-Gaussian estimators of the mean of a random vector

(2019) Gábor Lugosi et al.   ANNALS OF STATISTICS

Network quantile autoregression

(2019) Xuening Zhu et al.   JOURNAL OF ECONOMETRICS

Quantile-regression-based clustering for panel data

(2019) Yingying Zhang et al.   JOURNAL OF ECONOMETRICS

Identification and estimation in panel models with overspecified number of groups

(2019) Ruiqi Liu et al.   JOURNAL OF ECONOMETRICS

Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures

(2017) Tomohiro Ando et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Identifying Latent Structures in Panel Data

(2016) Liangjun Su et al.   ECONOMETRICA

Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients

(2016) Baojun Dou et al.   JOURNAL OF ECONOMETRICS

Grouped effects estimators in fixed effects models

(2016) C. Alan Bester et al.   JOURNAL OF ECONOMETRICS

Modeling E-mail Networks and Inferring Leadership Using Self-Exciting Point Processes

(2016) Eric W. Fox et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Consistency of spectral clustering in stochastic block models

(2015) Jing Lei et al.   ANNALS OF STATISTICS

Regularized estimation in sparse high-dimensional time series models

(2015) Sumanta Basu et al.   ANNALS OF STATISTICS

Grouped Patterns of Heterogeneity in Panel Data

(2015) Stéphane Bonhomme et al.   ECONOMETRICA

Latent Space Models for Dynamic Networks

(2015) Daniel K. Sewell et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

On the network topology of variance decompositions: Measuring the connectedness of financial firms

(2014) Francis X. Diebold et al.   JOURNAL OF ECONOMETRICS

Calibrating nonconvex penalized regression in ultra-high dimension

(2013) Lan Wang et al.   ANNALS OF STATISTICS

Estimation of (near) low-rank matrices with noise and high-dimensional scaling

(2011) Sahand Negahban et al.   ANNALS OF STATISTICS

Spectral clustering and the high-dimensional stochastic blockmodel

(2011) Karl Rohe et al.   ANNALS OF STATISTICS

On the adaptive elastic-net with a diverging number of parameters

(2009) Hui Zou et al.   ANNALS OF STATISTICS

Power-Law Distributions in Empirical Data

(2009) Aaron Clauset et al.   SIAM REVIEW

Extended Bayesian information criteria for model selection with large model spaces

(2008) J. Chen et al.   BIOMETRIKA