| Publication | Date of Publication | Type |
|---|
Outlier detection in state-space models using mean-shift penalisation
Statistics and Computing | 2026-08-21 | Paper |
Local projection inference in high dimensions
The Econometrics Journal | 2026-02-03 | Paper |
Sparse outlier-robust PCA for multi-source data
Statistics and Computing | 2025-11-25 | Paper |
Detecting cointegrating relations in non-stationary matrix-valued time series
Economics Letters | 2025-07-16 | Paper |
Vector moving average models: a review
Wiley Interdisciplinary Reviews. WIREs Computational Statistics | 2025-04-14 | Paper |
Multiclass vector auto-regressive models for multistore sales data
Journal of the Royal Statistical Society. Series C. Applied Statistics | 2024-11-20 | Paper |
| changepoint.influence | 2024-02-20 | Software |
Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
Journal of the American Statistical Association | 2023-07-03 | Paper |
Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
Journal of the American Statistical Association | 2023-07-03 | Paper |
Lasso Inference for High-Dimensional Time Series
Journal of Econometrics | 2023-06-29 | Paper |
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
Journal of Computational and Graphical Statistics | 2022-12-16 | Paper |
Graphical Influence Diagnostics for Changepoint Models
Journal of Computational and Graphical Statistics | 2022-12-15 | Paper |
Heteroscedasticity testing after outlier removal
Econometric Reviews | 2022-03-04 | Paper |
Sparse regression for large data sets with outliers
European Journal of Operational Research | 2021-11-09 | Paper |
High dimensional forecasting via interpretable vector autoregression
(available as arXiv preprint) | 2021-02-05 | Paper |
| High dimensional forecasting via interpretable vector autoregression | 2021-02-05 | Paper |
An algorithm for the multivariate group Lasso with covariance estimation
Journal of Applied Statistics | 2020-12-04 | Paper |
Cellwise robust regularized discriminant analysis
Statistical Analysis and Data Mining: The ASA Data Science Journal | 2020-10-14 | Paper |
Lasso Inference for High-Dimensional Time Series
Journal of Econometrics | 2020-07-21 | Paper |
The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
European Journal of Operational Research | 2016-10-07 | Paper |
The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
European Journal of Operational Research | 2016-10-07 | Paper |
Discussion of `Asymptotic theory of outlier detection algorithms for linear time series regression models'
Scandinavian Journal of Statistics | 2016-06-29 | Paper |
Sparse canonical correlation analysis from a predictive point of view
Biometrical Journal | 2016-01-21 | Paper |
Sparse canonical correlation analysis from a predictive point of view
Biometrical Journal | 2016-01-21 | Paper |
