Wavelet eigenvalue regression in high dimensions

DOI10.1007/S11203-022-09279-3OpenAlexW3189857688MaRDI QIDQ2694800

Herwig Wendt, Patrice Abry, Gustavo Didier, B. Cooper Boniece

Publication date: 4 April 2023

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.03770

zbMATH Keywords

waveletsrandom matricesoperator self-similarity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Random matrices (probabilistic aspects) (60B20) Self-similar stochastic processes (60G18)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regularized estimation in sparse high-dimensional time series models
• Random covariance matrices: universality of local statistics of eigenvalues
• Exponents, symmetry groups and classification of operator fractional Brownian motions
• On determination of cointegration ranks
• Factor modeling for high-dimensional time series: inference for the number of factors
• Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
• Universality of random matrices with correlated entries
• Rigidity of eigenvalues of generalized Wigner matrices
• How the instability of ranks under long memory affects large-sample inference
• On the empirical spectral distribution for matrices with long memory and independent rows
• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• Spectral analysis of large dimensional random matrices
• Testing for cointegration using principal components methods
• Operator self similar stochastic processes in \(R^ n\).
• Operator-self-similar stable processes
• Large deviations for Wigner's law and Voiculescu's non-commutative entropy
• Universality at the edge of the spectrum in Wigner random matrices.
• Gaussian approximation for high dimensional time series
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Moment estimator for random vectors with heavy tails
• Estimation of the self-similarity parameter in linear fractional stable motion.
• Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
• Limiting behavior of large correlated Wishart matrices with chaotic entries
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• On the Marčenko-Pastur law for linear time series
• Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
• Wavelet estimation for operator fractional Brownian motion
• Random matrix theory in statistics: a review
• Parameter estimation of selfsimilarity exponents
• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: Concepts and tools.
• From random matrices to long range dependence
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• On the density of Eigenvalues of a random matrix
• On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
• CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
• Characterization of LIL behavior in Banach space
• An Introduction to Random Matrices
• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• Ten Lectures on Wavelets
• Sample Path Properties of Operator-Slef-Similar Gaussian Random Fields
• Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples
• High-Dimensional Statistics
• RANDOM MATRICES WITH SLOW CORRELATION DECAY
• High-Dimensional Probability
• A wavelet-based joint estimator of the parameters of long-range dependence
• Operator-Self-Similar Processes in a Finite-Dimensional Space
• Identifying Cointegration by Eigenanalysis
• Large Sample Covariance Matrices and High-Dimensional Data Analysis
• Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes
• Adaptive wavelet decompositions of stationary time series
• Fractional Brownian Motions, Fractional Noises and Applications

This page was built for publication: Wavelet eigenvalue regression in high dimensions