Inverse covariance operators of multivariate nonstationary time series

DOI10.3150/23-bej1628arXiv2202.00933OpenAlexW4391458273WikidataQ128886103 ScholiaQ128886103MaRDI QIDQ6201845

Jonas Krampe, Suhasini Subba Rao

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.00933

zbMATH Keywords

local stationarityhigh-dimensional time seriespartial covarianceBaxter's inequalityautoregressive parameters

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

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