Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Multivariate analysis (62Hxx)

Cites Work

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Regularized estimation in sparse high-dimensional time series models
Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings
Asymptotic normality, strong mixing and spectral density estimates
Strong approximation for a class of stationary processes
Bootstrap procedures under some non-i.i.d. models
Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
Jackknife, bootstrap and other resampling methods in regression analysis
Testing and estimating change-points in the covariance matrix of a high-dimensional time series
Spectral analysis of high-dimensional time series
Testing equality of spectral densities using randomization techniques
Bootstrap and wild bootstrap for high dimensional linear models
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Komlós-Major-Tusnády approximation under dependence
Asymptotic spectral theory for nonlinear time series
On Consistent Estimates of the Spectrum of a Stationary Time Series
ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
Iterated Random Functions
ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
Limit theorems for iterated random functions
LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models
Optimal Gaussian Approximation For Multiple Time Series
The Dependent Wild Bootstrap
Testing for Change Points in Time Series
Detection of Multiple Structural Breaks in Multivariate Time Series
Nonlinear system theory: Another look at dependence
A central limit theorem for stationary random fields

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