Estimation and inference for precision matrices of nonstationary time series
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Publication:2215745
DOI10.1214/19-AOS1894zbMath1471.62461arXiv1803.01188MaRDI QIDQ2215745
Publication date: 14 December 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.01188
random matricesCholesky decompositionnonstationary time seriessieve estimationhigh-dimensional Gaussian approximationprecision matriceswhite noise and bandedness tests
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
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