Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
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Publication:2656594
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- A Bound on Tail Probabilities for Quadratic Forms in Independent Random Variables
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A bound on tail probabilities for quadratic forms in independent random variables whose distributions are not necessarily symmetric
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- A general science-based framework for dynamical spatio-temporal models
- A likelihood approximation for locally stationary processes
- A recursive online algorithm for the estimation of time-varying ARCH parameters
- Adaptive covariance estimation of locally stationary processes
- Analysis of Financial Time Series
- Analyzing complex functional brain networks: fusing statistics and network science to understand the brain
- Autocorrelation, autoregression and autoregressive approximation
- Automatic Statistical Analysis of Bivariate Nonstationary Time Series
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bootstraps for time series
- Confidence estimation of the covariance function of stationary and locally stationary processes
- Covariance and precision matrix estimation for high-dimensional time series
- Covariance matrix estimation for stationary time series
- Covariance regularization by thresholding
- Cross-spectral analysis of tremor time series
- Decomposability and selection of graphical models for multivariate time series
- Efficient estimation of a multivariate multiplicative volatility model
- Empirical spectral processes for locally stationary time series
- Estimating Time-Evolving Partial Coherence Between Signals via Multivariate Locally Stationary Wavelet Processes
- Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
- Evolutionary Coherence of Nonstationary Signals
- Fitting time series models to nonstationary processes
- Gaussian approximation for high dimensional time series
- Granger causality and path diagrams for multivariate time series
- Graphical interaction models for multivariate time series.
- Graphical modelling of multivariate time series
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Hanson-Wright inequality and sub-Gaussian concentration
- Information Theory and Stochastics for Multiscale Nonlinear Systems
- Large deviations for quadratic forms of locally stationary processes
- Large deviations for quadratic forms of stationary Gaussian processes
- Large deviations for quadratic functionals of Gaussian processes
- Learning Graphical Models for Stationary Time Series
- Limit theorems for iterated random functions
- Local linear quantile estimation for nonstationary time series
- Mixing properties of ARCH and time-varying ARCH processes
- Moderate deviations for quadratic forms in Gaussian stationary processes
- Multivariate density estimation with general flat-top kernels of infinite order
- Nonlinear spectral density estimation: thresholding the correlogram
- Nonlinear system theory: Another look at dependence
- Nonparametric inference of quantile curves for nonstationary time series
- Nonparametric regression for locally stationary time series
- On recursive estimation for time varying autoregressive processes
- On the maximum of covariance estimators
- Partial correlation analysis for the identification of synaptic connections
- Partial directed coherence: a new concept in neural structure determination
- Resampling methods for dependent data
- SLEX Analysis of Multivariate Nonstationary Time Series
- Simultaneous analysis of Lasso and Dantzig selector
- Spectral analysis of high-dimensional time series
- Statistical inference for time-varying ARCH processes
- Subsampling
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- The Generalized Dynamic Factor Model
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Cited in
(29)- Estimation of linear functional of large spectral density matrix and application to Whittle's approach
- Estimating time-varying networks for high-dimensional time series
- Asymptotic equivalence of locally stationary processes and bivariate Gaussian white noise
- Graphical models for nonstationary time series
- Asymptotic theory for spectral density estimates of general multivariate time series
- Inferential theory for generalized dynamic factor models
- An Algebraic Estimator for Large Spectral Density Matrices
- On the convergence of the spectrum of finite order approximations of stationary time series
- An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series
- General spatio-temporal factor models for high-dimensional random fields on a lattice
- Finite sample theory for high-dimensional functional/scalar time series with applications
- High-dimensional data segmentation in regression settings permitting temporal dependence and non-Gaussianity
- Covariance and precision matrix estimation for high-dimensional time series
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- Estimation of grouped time-varying network vector autoregressive models
- Spectral change point estimation for high-dimensional time series by sparse tensor decomposition
- Inference for time-varying factor models under local stationarity
- Inverse covariance operators of multivariate nonstationary time series
- The dynamic, the static, and the weak: factor models and the analysis of high-dimensional time series
- The dual frequency spectral density function of locally periodic stationary processes with an application to testing for correlation between different frequency bands of a time series
- Gaussian approximation for nonstationary time series with optimal rate and explicit construction
- Simultaneous statistical inference for second order parameters of time series under weak conditions
- On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
- Statistical Inference for High-Dimensional Spectral Density Matrix
- Frequency Domain Statistical Inference for High-Dimensional Time Series
- Covariance matrix estimation for stationary time series
- On adaptive covariance and spectrum estimation of locally stationary multivariate processes
- A statistical framework for analyzing shape in a time series of random geometric objects
- Factor-guided estimation of large covariance matrix function with conditional functional sparsity
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