Gaussian approximation for high dimensional time series
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Publication:1687112
DOI10.1214/16-AOS1512zbMath1381.62254arXiv1508.07036OpenAlexW2963629083MaRDI QIDQ1687112
Publication date: 22 December 2017
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.07036
simultaneous inferenceGaussian approximationhigh-dimensional time seriesKolmogorov-Smirnov testlong run covariance matrix
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximations to statistical distributions (nonasymptotic) (62E17)
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