Autoregressive approximations to nonstationary time series with inference and applications
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Publication:6136588
DOI10.1214/23-aos2288arXiv2112.00693MaRDI QIDQ6136588
Publication date: 31 August 2023
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.00693
AR approximationmultiplier bootstrapnonstationary time seriesglobally optimal forecastinghigh-dimensional convex Gaussian approximation
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General theory of stochastic processes (60G07)
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Autoregressive approximations to nonstationary time series with inference and applications ⋮ Inverse covariance operators of multivariate nonstationary time series
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