Two sample tests for high-dimensional autocovariances

DOI10.1016/j.csda.2020.107067OpenAlexW3054327296MaRDI QIDQ830592

Vladas Pipiras, Changryong Baek, Benjamin Leinwand, Katheleen M. Gates

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107067

zbMATH Keywords

principal componentsdynamic factor modelshigh-dimensional time serieshypothesis testsautocovariancesblock multiplier bootstrap

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Detecting changes in correlation networks with application to functional connectivity of fMRI data ⋮ Robust test for structural instability in dynamic factor models

Uses Software

• itsmr
• HDtest

Cites Work

• Unnamed Item
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