Gaussian approximation for high dimensional time series (Q1687112)
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scientific article; zbMATH DE number 6821113
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| English | Gaussian approximation for high dimensional time series |
scientific article; zbMATH DE number 6821113 |
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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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0.9172353
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0.9124065
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0.89512354
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0.88689595
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0.88518584
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0.8828478
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0.8826777
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0.8778975
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0.8768574
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