{"entities":{"Q2405110":{"pageid":2415853,"ns":120,"title":"Item:Q2405110","lastrevid":72706488,"modified":"2026-04-14T06:41:49Z","type":"item","id":"Q2405110","labels":{"en":{"language":"en","value":"Large-sample approximations for variance-covariance matrices of high-dimensional time series"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6778243"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2405110$80B32EA3-0C71-4754-BE91-02F24E24F022","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"2690f71bc7304767cc34ffd99f74a59ee2dbc77e","datavalue":{"value":{"text":"Large-sample approximations for variance-covariance matrices of high-dimensional time series","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2405110$33E4502A-715F-4B38-ACD1-9F2393D31624","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"1caedbd26d11d83f9475902f05b6ef71a3990a01","datavalue":{"value":"1388.62269","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$46C3DFEC-B8B2-4834-B63A-659B7BA8D64C","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"3c214f6dad76d06112cbf495df7fc11f36023023","datavalue":{"value":"10.3150/16-BEJ811","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$D891F530-EE25-4002-BE86-7A9D06E3A609","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"75011d60530964e5e6947b8d1cf6a270eac06392","datavalue":{"value":{"entity-type":"item","numeric-id":225695,"id":"Q225695"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2405110$440220C5-B264-41AD-99AC-CF685B79904A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"fc14bde688cadb684c43c928594b607af7cf2f6e","datavalue":{"value":{"entity-type":"item","numeric-id":271845,"id":"Q271845"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2405110$4836562F-9134-4717-81E2-70CF938CF33B","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"47dbaf2050ccec76d72251c8ab98a49b4485bc38","datavalue":{"value":{"entity-type":"item","numeric-id":61790,"id":"Q61790"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2405110$73A61CA9-BB74-435C-B48F-44702B6A375A","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"f36926d0e8ecb0aa6e5c43f48d167063fe25ab3e","datavalue":{"value":{"time":"+2017-09-21T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2405110$EB7417DC-F049-466A-912F-BA7034D49655","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"f2a73efd0a3161e868f848771c9791fa7dd32fad","datavalue":{"value":"https://arxiv.org/abs/1704.06230","type":"string"},"datatype":"url"},"type":"statement","id":"Q2405110$ED16E9D4-9C7E-408A-8903-B5373A581385","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P205","hash":"e0f64a2418c002911f44b13529d4880650dc95a3","datavalue":{"value":"https://projecteuclid.org/euclid.bj/1494316819","type":"string"},"datatype":"url"},"type":"statement","id":"Q2405110$8A86720F-9AA6-491D-9C79-2CECF02937A5","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"4a1c887e5f24155896598b37e22221caa3c990a4","datavalue":{"value":"From the authors' abstract: ``Distributional approximations of (bi-) linear functions of sample variance-covariance matrices play a critical role to analyze vector time series, as they are needed for various purposes, especially to draw inference on the dependence structure in terms of second moments and to analyze projections onto lower dimensional spaces as those generated by principal components. This particularly applies to the high-dimensional case, where the dimension \\(d\\) is allowed to grow with the sample size \\(n\\) and may even be larger than \\(n\\). We establish large-sample approximations for such bilinear forms related to the sample variance-covariance matrix of a high-dimensional vector time series in terms of strong approximations by Brownian motions and the uniform (in the dimension) consistent estimation of their covariances. The results cover weakly dependent as well as many long-range dependent linear processes and are valid for uniformly \\(\\ell_1\\)-bounded projection vectors, which arise, either naturally or by construction, in many statistical problems extensively studied for high-dimensional series. [{\\dots}]''  Several applications are presented to show the relevance of the results. In particular: the application to the classical problem of optimal portfolio selection which leads to the choice of a sparse portfolio; a PCA-type method for dimensional reduction; shrinkage estimation of the variance/covariance matrix. Finally, a test statistic for the change-point problem for the variance/covariance matrix is introduced, and its asymptotic distribution under the null hypothesis is computed.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$3A1D6DED-2DF6-462D-B652-CF9167557963","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"7917394ea0323302dc046e256fc8553038dde7ee","datavalue":{"value":{"entity-type":"item","numeric-id":274014,"id":"Q274014"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2405110$595E813E-BA36-4E2A-82D8-4317749FC554","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"1179c6cdfc1e6cfa1ccf347b858a5b5914f11cdc","datavalue":{"value":"62M10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$7090A8DB-8211-4B2F-A5DC-67B994EC5241","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"793e07fc7774d64d96d1288dd2fd18143d8cfb3c","datavalue":{"value":"62H12","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$6F9A31C5-CF93-437D-AD8F-25AB1396EB19","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4a8fc00d3d69e1837f024970c798053ff342d011","datavalue":{"value":"62P05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$EC4B4353-C966-4383-BB6F-7A540D090F80","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"23afbf06f979e808a9283f99202378cf5d9ee2fc","datavalue":{"value":"62J07","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$7995DA1E-19E3-4CA6-BABF-51164D5AE183","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"1488b61c4e1e0d3fadd2b5e941969f253e979101","datavalue":{"value":"62H25","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$0E28D917-3558-438E-BC48-AF6AF08C1585","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"e5f48e552c47d19ab7422068ff910c43a8361c63","datavalue":{"value":"6778243","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$741CF172-51E2-4ACE-8981-6AAE36209D9C","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"0c877658bc25bd0943265f77a039db62b5315341","datavalue":{"value":"big data","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$ED02A921-3AED-481E-8094-EE4DE05A2E03","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"92c73b9c57a864453d60d99823f198869a170d97","datavalue":{"value":"change-points","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$0E7640A1-192C-49E4-BCDB-D19BF36F1E61","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"a2a94b09438b972547223e04cd97d85d80804f18","datavalue":{"value":"data science and analytics","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$4821F40F-3040-477B-8BC4-10CB21F87EB0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5ac53dc48923fc43c5a55eb929fa28f1553c89a2","datavalue":{"value":"long memory","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$C3019360-B954-4B90-99C3-A58840934693","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e875960772f5df41ca2676174b972393e10f6570","datavalue":{"value":"multivariate analysis","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$C0A1E8F9-1667-42A1-9E88-3C62E58A29E6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"cfe57b8eaa6fae5c606587b232677a68f5512bfa","datavalue":{"value":"portfolio analysis","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$826E9CB1-6C83-44F1-BEC4-CB57294FA546","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b1701d8146109a7a1a8797fdf38e304ec2c6a779","datavalue":{"value":"principal component analysis","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$05836E13-FA1B-4B2E-AADD-43F4A3EC559C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"79342add2f8aec6801395f017026e67c12baba4f","datavalue":{"value":"strong approximation","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$5330F901-1483-4A7D-BC92-F6B62DFDFDB9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2d880fb83080761048200b45cf2bdb8f12d7a95e","datavalue":{"value":"time series","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$86241394-4F11-48E3-BBFF-058DB8104144","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"681d7fcbc749a5fe61cd41d37ef9c16cf8c0f4e3","datavalue":{"value":"Lasso","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$8F04EB4E-A21A-4DF1-9EDB-0C7794BC2E18","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"aab2b4e732e224c873cb477cd005650db2db99ee","datavalue":{"value":"shrinkage estimation","type":"string"},"datatype":"string"},"type":"statement","id":"Q2405110$D574E7EE-95AD-427B-AD4F-C8EA070729F1","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2405110$A6CB6895-20B5-4674-8448-2C36EE1D6B8E","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"1743edacfe8eb7dd5507a6085d6ebf4426a344cd","datavalue":{"value":"W1653403902","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2405110$F6915A3D-0222-43CB-8087-E578F5F8DCAE","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"246d88bd20f1e87781b9740bbe8e43c080920ac8","datavalue":{"value":{"entity-type":"item","numeric-id":1639677,"id":"Q1639677"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0419f259a3d4c6074cc10678ae2c9c07d0b7a1e8","datavalue":{"value":{"amount":"+0.8516522645950317","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2405110$A9A53E0D-24B7-4B2C-B680-4BDE6A40B964","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"04f67bd5a18c542c8162725e49acaf7b8601f380","datavalue":{"value":{"entity-type":"item","numeric-id":5001018,"id":"Q5001018"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a430025cb620f053d24ed3b8d45e3f3d5c15cb18","datavalue":{"value":{"amount":"+0.8146849274635315","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2405110$1B557C60-0F08-4EAD-9E0A-ED63C03EFE87","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"59571cb70460f05a49a5548efd7a96451d4bdfe5","datavalue":{"value":{"entity-type":"item","numeric-id":2306269,"id":"Q2306269"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0e214dbaa23c210311014cfebfc5998e8ab464ee","datavalue":{"value":{"amount":"+0.8056458234786987","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2405110$F0603DC4-24E6-4E7B-99D5-F7DCF9C41C7C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c56333484951f3de9185745d78b0fb8e3ba12770","datavalue":{"value":{"entity-type":"item","numeric-id":1687112,"id":"Q1687112"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"95e83ca1f90b3d857865c490dce6b344dbca38d3","datavalue":{"value":{"amount":"+0.7965711951255798","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2405110$BCC23398-28B5-4137-A2B5-DACF22F3F715","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1ad4807b44d6b52f2e0887aa1fa069cef5e92998","datavalue":{"value":{"entity-type":"item","numeric-id":2443210,"id":"Q2443210"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"5c17bcf5b02fde9fefc43ae604ec9dd383015c3a","datavalue":{"value":{"amount":"+0.789779782295227","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2405110$B8F18726-01A0-4F03-B5EA-D2C2DD491FC4","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Large-sample approximations for variance-covariance matrices of high-dimensional time series","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Large-sample_approximations_for_variance-covariance_matrices_of_high-dimensional_time_series"}}}}}