Gaussian approximation for high dimensional time series (Q1687112)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Gaussian approximation for high dimensional time series |
scientific article |
Statements
Gaussian approximation for high dimensional time series (English)
0 references
22 December 2017
0 references
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.
0 references
Gaussian approximation
0 references
high-dimensional time series
0 references
Kolmogorov-Smirnov test
0 references
long run covariance matrix
0 references
simultaneous inference
0 references
