Inference on the maximal rank of time-varying covariance matrices using high-frequency data
DOI10.1214/23-aos2273arXiv2110.00363OpenAlexW4380490516MaRDI QIDQ6117051
Publication date: 19 July 2023
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.00363
principal component analysisterm structurefactor modeleigenvalue perturbationrank detectionempirical covariance matrixmatrix concentrationsignal detection rate
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Random matrices (probabilistic aspects) (60B20) Non-Markovian processes: hypothesis testing (62M07)
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