On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

DOI10.1016/J.JMVA.2022.105124OpenAlexW3179230886MaRDI QIDQ2111066FDOQ2111066

Authors: Philippe Loubaton, Alexis Rosuel, Pascal Vallet 

Publication date: 23 December 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.02891

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zbMATH Keywords

time seriesindependence testspectral analysishigh dimensional statistics

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

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Cited In (3)

• Graphical models for nonstationary time series
• Spectral distribution of the sample covariance of high-dimensional time series with unit roots
• On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

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