Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models

DOI10.1111/SJOS.12508zbMath1469.62333OpenAlexW3113164091WikidataQ114078098 ScholiaQ114078098MaRDI QIDQ5001018

Ansgar Steland, Monika Bours

Publication date: 16 July 2021

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12508

zbMATH Keywords

time seriesmultivariate analysisstrong approximationfactor modelportfolio analysishigh-dimensional statisticschange-pointsCOVID-19 crisis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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