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

DOI10.1016/J.JMVA.2022.105124MaRDI QIDQ2111066zbMATH OpenOpenAlexFDO

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

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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• Two moments suffice for Poisson approximations: The Chen-Stein method

Cited in

(8)

• Largest magnitude for off-diagonal auto-correlation coefficients in high dimensional framework
• Graphical models for nonstationary time series
• Spectral distribution of the sample covariance of high-dimensional time series with unit roots
• Correlation tests and sample spectral coherence matrix in the high-dimensional regime
• On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
• Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
• Statistical Inference for High-Dimensional Spectral Density Matrix
• Frequency Domain Statistical Inference for High-Dimensional Time Series

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