CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
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Publication:1800798
DOI10.1214/17-AOS1616zbMath1428.60020WikidataQ129369069 ScholiaQ129369069MaRDI QIDQ1800798
Guangming Pan, Bo Zhang, J. T. Gao
Publication date: 24 October 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1534492833
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Non-Markovian processes: hypothesis testing (62M07)
Related Items
Spectral distribution of the sample covariance of high-dimensional time series with unit roots, Cointegration in large VARs, Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes, Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
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