Adaptive test for mean vectors of high-dimensional time series data with factor structure

DOI10.1016/j.jkss.2018.05.003zbMath1406.62101OpenAlexW2806275571WikidataQ129741766 ScholiaQ129741766MaRDI QIDQ1622117

Cheng Zhou, Yong He, Mingjuan Zhang, Xin Sheng Zhang

Publication date: 12 November 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.05.003

zbMATH Keywords

high-dimensional time seriesmultiplier bootstrapapproximate factor modeldata-adaptive test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

High-dimensional two-sample mean vectors test and support recovery with factor adjustment

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