Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
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Publication:2140845
DOI10.1016/j.jmva.2021.104883zbMath1493.62333arXiv2102.06817WikidataQ114157891 ScholiaQ114157891MaRDI QIDQ2140845
Nayel Bettache, Cristina Butucea, Marianne Sorba
Publication date: 23 May 2022
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.06817
time series; hypothesis testing; covariance matrix; sparsity; support recovery; high-dimensional vectors
62F12: Asymptotic properties of parametric estimators
62H15: Hypothesis testing in multivariate analysis
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