Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes

DOI10.1214/20-AOS1954zbMATH Open1461.62165MaRDI QIDQ2656594FDOQ2656594

Publication date: 11 March 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1611889225

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high-dimensional time series convergence rate locally stationary processes second-order statistics Hanson-Wright-type inequalities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

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Cited In (11)

Graphical models for nonstationary time series
Inferential theory for generalized dynamic factor models
An Algebraic Estimator for Large Spectral Density Matrices
High-dimensional data segmentation in regression settings permitting temporal dependence and non-Gaussianity
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
Inverse covariance operators of multivariate nonstationary 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
On adaptive covariance and spectrum estimation of locally stationary multivariate processes
Covariance matrix estimation for stationary time series

Uses Software

FinTS

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