Data science, Statistics, Time series
High-dimensional statistics and its around:
Methodology for exploratory data analysis (EDA)
Variable selection with FDR control
Estimation and inference for non-sparse models
Applications with a large data set in economics and finance
Toyoda, M. and Y. Uematsu (2025). "Robust reproducible network exploration," to appear in Journal of Business & Economic Statistics. (Working Paper, Slides)
Uematsu, Y. and T. Yamagata (2025). "Discovering the network Granger causality in large vector autoregressive models," to appear in Journal of the American Statistical Association. (Working Paper)
Dai, R., Y. Uematsu and Y. Matsuda (2024). "Estimation of large covariance matrices with mixed factor structures," Econometrics Journal, 27, 62-83.
Uematsu, Y. and T. Yamagata (2023). "Inference in sparsity-induced weak factor models," Journal of Business & Economic Statistics, 41, 126-139. (Working Paper)
Uematsu, Y. and T. Yamagata (2023). "Estimation of sparsity-induced weak factor models," Journal of Business & Economic Statistics, 41, 213-227. (Working Paper, Core part of R code, Slides on sWF models)
Fan, Y., J. Lv, M. Sharifvaghefi and Y. Uematsu (2020). "IPAD: stable interpretable forecasting with knockoffs inference," Journal of the American Statistical Association, 115, 1822-1834.
Uematsu, Y., Y. Fan, K. Chen, J. Lv and W. Lin (2019). "SOFAR: large-scale association network learning," IEEE Transactions on Information Theory, 65, 4924-4939.
Uematsu, Y. and S. Tanaka (2019). "High-dimensional macroeconomic forecasting and variable selection via penalized regression," Econometrics Journal, 22, 34-56. Selected to be Editors' Choice of this issue. Top Downloaded Paper 2018-2019.
Uematsu, Y. (2019). "Nonstationary nonlinear quantile regression," Econometric Reviews, 38, 386-416.
Uematsu, Y. (2016). "Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices," Statistics & Probability Letters, 114, 104-110.
Uematsu, Y. and S. Tanaka (2016). "Regularization parameter selection via cross-validation in the presence of dependent regressors: a simulation study," Economics Bulletin, 36, 313-319.
Toyoda, M. and Y. Uematsu (2025). "Sequential correct screening and post-screening inference," arXiv:2508.14596.
Jiang, P., Y. Uematsu and T. Yamagata (2024). "Bias correction in factor-augmented regression models with weak factors,'' arXiv:2509.02066.
Sawaya, K., Y. Uematsu and M. Imaizumi (2024). "High-dimensional single-index models: Link estimation and marginal inference," arXiv:2404.17812.
Jiang, P., Y. Uematsu and T. Yamagata (2024). "Revisiting asymptotic theory for principal component estimators of approximate factor models,'' arXiv:2311.00625. (Slides)
Sawaya, K., Y. Uematsu and M. Imaizumi (2024). "Moment-based adjustments of statistical inference in high-dimensional generalized linear models," arXiv:2305.17731.