Gaussian approximation for high dimensional time series (Q1687112): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
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| English | Gaussian approximation for high dimensional time series |
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Gaussian approximation for high dimensional time series (English)
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22 December 2017
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The authors use the framework of functional dependence measure for Gaussian approximations of sums of multivariate stationary time series. In the rest of the paper, the batched-mean estimate of long-run covariances matrices is considered and some sharp inequalities for tail probabilities are provided for dependent processes.
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Gaussian approximation
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high-dimensional time series
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Kolmogorov-Smirnov test
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long run covariance matrix
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simultaneous inference
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