Introduces Net-LSW framework for multiscale time-varying dependence modeling on networks, with local partial correlation graphs and consistent estimation for nonstationary processes.
Generalized impulse response analysis in linear multivariate models
2 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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2026 2verdicts
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Develops consistent procedures and an efficient alternating least squares algorithm for determining the number of dynamic factors and filter length in dynamic factor models, applied to US macroeconomic time series.
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Multiscale Dynamic Dependence Estimation over Networks
Introduces Net-LSW framework for multiscale time-varying dependence modeling on networks, with local partial correlation graphs and consistent estimation for nonstationary processes.