Wavelet eigenvalue regression in high dimensions (Q2694800): Difference between revisions

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+Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
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+Wavelet estimation for operator fractional Brownian motion
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+RANDOM MATRICES WITH SLOW CORRELATION DECAY
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+Testing for cointegration using principal components methods
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+Random covariance matrices: universality of local statistics of eigenvalues
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+A wavelet-based joint estimator of the parameters of long-range dependence
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+High-Dimensional Probability
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+Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
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+Large Sample Covariance Matrices and High-Dimensional Data Analysis
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+Gaussian approximation for high dimensional time series
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+Identifying Cointegration by Eigenanalysis
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