Two sample tests for high-dimensional autocovariances

DOI10.1016/J.CSDA.2020.107067OpenAlexW3054327296MaRDI QIDQ830592FDOQ830592

Authors: Changryong Baek, Katheleen M. Gates, Benjamin Leinwand, Vladas Pipiras 

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107067

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zbMATH Keywords

principal componentshigh-dimensional time seriesdynamic factor modelshypothesis testsautocovariancesblock multiplier bootstrap

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Simulation‐based hypothesis testing of high dimensional means under covariance heterogeneity
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• Spectral clustering and the high-dimensional stochastic blockmodel
• Central limit theorems and bootstrap in high dimensions
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Gaussian approximation for high dimensional time series
• Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
• Testing for high-dimensional white noise using maximum cross-correlations
• Penalized likelihood methods for estimation of sparse high-dimensional directed acyclic graphs
• High-dimensional sparse factor modeling: applications in gene expression genomics
• A two-sample test for high-dimensional data with applications to gene-set testing
• Covariance and precision matrix estimation for high-dimensional time series
• Title not available (Why is that?)
• Two-Sample Test of High Dimensional Means Under Dependence
• Tests for high-dimensional covariance matrices
• Long-Range Dependence and Self-Similarity
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Why Are Big Data Matrices Approximately Low Rank?
• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• Computing Communities in Large Networks Using Random Walks
• Communities in Networks
• Sparse seasonal and periodic vector autoregressive modeling
• Testing equality of stationary autocovariances
• Tests for parameter instability in dynamic factor models
• Mean vector testing for high-dimensional dependent observations
• Estimation of large covariance and precision matrices from temporally dependent observations
• Periodic dynamic factor models: estimation approaches and applications
• Consistency of large dimensional sample covariance matrix under weak dependence
• Bootstrap consistency for quadratic forms of sample averages with increasing dimension

Cited In (4)

• Detecting changes in correlation networks with application to functional connectivity of fMRI data
• Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
• Robust test for structural instability in dynamic factor models
• Multivariate analysis of variance and change points estimation for high-dimensional longitudinal data

Uses Software

• itsmr
• HDtest

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