On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

DOI10.1016/J.JMVA.2022.105124zbMath1520.62116arXiv2107.02891MaRDI QIDQ6372154

Philippe Loubaton, Alexis Rosuel, Pascal Vallet

Publication date: 24 June 2021

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15)

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