Hypothesis testing for high-dimensional time series via self-normalization
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high-dimensional inferencenonlinear time seriesU-statisticself-normalizationmartingale approximationpivotal limit
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Martingales with continuous parameter (60G44)
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Cites work
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Cited in
(21)- Mean tests for high-dimensional time series
- Adjusted-range self-normalized confidence interval construction for censored dependent data
- Optimal multiple change-point detection for high-dimensional data
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Self-Normalization for Time Series: A Review of Recent Developments
- A posteriori tests to validate dimension estimates from time series
- \(\ell^2\) inference for change points in high-dimensional time series via a two-way MOSUM
- Two-sample and change-point inference for non-Euclidean valued time series
- Testing Relevant Hypotheses in Functional Time Series via Self-Normalization
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- A frequency-domain test for multivariate white noise
- On testing for high-dimensional white noise
- Adaptive Inference for Change Points in High-Dimensional Data
- Inference on the change point under a high dimensional sparse mean shift
- A rank-based high-dimensional test for equality of mean vectors
- Inference for modulated stationary processes
- Testing for high-dimensional network parameters in auto-regressive models
- Unsupervised self-normalized change-point testing for time series
- Dating the break in high-dimensional data
- Validating approximate slope homogeneity in large panels
- Inference for change points in high-dimensional data via selfnormalization
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