Graphical models for nonstationary time series (Q6183745)

scientific article; zbMATH DE number 7783506

Language	Label	Description	Also known as
English	Graphical models for nonstationary time series	scientific article; zbMATH DE number 7783506

Statements

instance of

scholarly article

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title

Graphical models for nonstationary time series (English)

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The Annals of Statistics

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publication date

4 January 2024

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full work available at URL

https://arxiv.org/abs/2109.08709

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https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-4/Graphical-models-for-nonstationary-time-series/10.1214/22-AOS2205.full

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zbMATH Keywords

graphical models

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locally stationary time series

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partial covariance

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spectral analysis

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MaRDI profile type

MaRDI publication profile

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cites work

Testing for stationarity of functional time series in the frequency domain

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Regularized estimation in sparse high-dimensional time series models

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On Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities

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Shrinkage estimation in the frequency domain of multivariate time series

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Time Series

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Costationarity of Locally Stationary Time Series

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Intrinsic Wavelet Regression for Curves of Hermitian Positive Definite Matrices

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Q3999065

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Graphical interaction models for multivariate time series.

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A likelihood approximation for locally stationary processes

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On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series

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Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes

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Towards a general theory for nonlinear locally stationary processes

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Statistical inference for time-varying ARCH processes

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On the network topology of variance decompositions: measuring the connectedness of financial firms

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Estimation and inference for precision matrices of nonstationary time series

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Granger causality and path diagrams for multivariate time series

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Testing nonparametric and semiparametric hypotheses in vector stationary processes

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Spectral analysis of high-dimensional time series

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Sparse inverse covariance estimation with the graphical lasso

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Periodically and Almost-Periodically Correlated Random Processes with a Continuous Time Parameter

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Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series

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Estimation of Ambiguity Functions With Limited Spread

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A test for second order stationarity of a multivariate time series

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Predictive, finite-sample model choice for time series under stationarity and non-stationarity

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On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

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Asymptotic Analysis of Complex LASSO via Complex Approximate Message Passing (CAMP)

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High-dimensional graphs and variable selection with the Lasso

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A Test for Second-Order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series

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Modeling and Estimation of Covariance of Replicated Modulated Cyclical Time Series

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Testing temporal constancy of the spectral structure of a time series

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Q5521155

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Q3323077

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Q5572777

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Joint Estimation of Multiple Graphical Models from High Dimensional Time Series

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Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models

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On some nonstationary, nonlinear random processes and their stationary approximations

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Q5631967

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Stationary subspace analysis of nonstationary processes

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Q4864293

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The Maximum Deviation of Sample Spectral Densities

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ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES

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Gaussian approximation for high dimensional time series

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Local linear quantile estimation for nonstationary time series

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Identifiers

arXiv ID

2109.08709

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6183745