Uniform Variance Reduced Simultaneous Inference of Time-Varying Correlation Networks
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DOI: 10.1109/tit.2025.3613143
Abstract: This paper proposes a unified framework for inferring large-scale time-varying correlation networks via data-driven time-varying thresholds that can control uncertainty simultaneously. The framework allows the dimension of time series vectors to be fixed or diverging… read more here.
Keywords: time; uniform variance; varying correlation; correlation networks ... See more keywords