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

DOI10.1016/j.jmva.2022.105124OpenAlexW3179230886MaRDI QIDQ2111066

Philippe Loubaton, Alexis Rosuel, Pascal Vallet

Publication date: 23 December 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.02891

zbMATH Keywords

time seriesspectral analysisindependence testhigh dimensional statistics

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Graphical models for nonstationary time series

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