Related papers: Testing High-dimensional Nonstationary Time Series
This paper studies the high-dimensional mixed linear regression (MLR) where the output variable comes from one of the two linear regression models with an unknown mixing proportion and an unknown covariance structure of the random…
We study sufficient conditions for the belonging of random process to certain Besov space and for the Central Limit Theorem (CLT) in these spaces. We investigate also the non-asymptotic tail behavior of normed sums of centered random…
In this paper we show a functional central limit theorem for the sum of the first $\lfloor t n \rfloor$ diagonal elements of $f(Z)$ as a function in $t$, for $Z$ a random real symmetric or complex Hermitian $n\times n$ matrix. The result…
We investigate the probability density of rescaled sums of iterates of deterministic dynamical systems, a problem relevant for many complex physical systems consisting of dependent random variables. A Central Limit Theorem (CLT) is only…
We develop a uniform inference theory for high-dimensional slope parameters in threshold regression models, allowing for either cross-sectional or time series data. We first establish oracle inequalities for prediction errors, and L1…
When analysing time series an important issue is to decide whether the time series is stationary or a random walk. Relaxing these notions, we consider the problem to decide in favor of the I(0)- or I(1)-property. Fixed-sample statistical…
Study of time series data often involves measuring the strength of temporal dependence, on which statistical properties like consistency and central limit theorem are built. Historically, various dependence measures have been proposed. In…
This paper derives central limit and bootstrap theorems for probabilities that sums of centered high-dimensional random vectors hit hyperrectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for…
Random matrix theory allows one to deduce the eigenvalue spectrum of a large matrix given only statistical information about its elements. Such results provide insight into what factors contribute to the stability of complex dynamical…
It has been shown that, if a model displays long-range (power-law) spatial correlations, its equal-time correlation matrix of this model will also have a power law tail in the distribution of its high-lying eigenvalues. The purpose of this…
This paper proposes a new procedure to build factor models for high-dimensional unit-root time series by postulating that a $p$-dimensional unit-root process is a nonsingular linear transformation of a set of unit-root processes, a set of…
In this paper, we consider procedures for testing hypotheses on the dimension of the linear span generated by a growing number of $p\times p$ covariance matrices from independent $q$ populations. Under a proper limiting scheme where all the…
This paper deals with the dimension reduction for high-dimensional time series based on common factors. In particular we allow the dimension of time series $p$ to be as large as, or even larger than, the sample size $n$. The estimation for…
High-dimensional vector autoregression with measurement error is frequently encountered in a large variety of scientific and business applications. In this article, we study statistical inference of the transition matrix under this model.…
Hyperproperties, such as non-interference and observational determinism, relate multiple system executions to each other. They are not expressible in standard temporal logics, like LTL, CTL, and CTL*, and thus cannot be monitored with…
For a high-dimensional linear model with a finite number of covariates measured with error, we study statistical inference on the parameters associated with the error-prone covariates, and propose a new corrected decorrelated score test and…
The spiked Fisher matrix is a significant topic for two-sample problems in multivariate statistical inference. This paper is dedicated to testing the number of spikes in a high-dimensional generalized spiked Fisher matrix that relaxes the…
We consider two hypothesis testing problems for low-rank and high-dimensional tensor signals, namely the tensor signal alignment and tensor signal matching problems. These problems are challenging due to the high dimension of tensors and…
Sample covariance matrix and multivariate $F$-matrix play important roles in multivariate statistical analysis. The central limit theorems {\sl (CLT)} of linear spectral statistics associated with these matrices were established in Bai and…
In this paper, we study distance covariance, Hilbert-Schmidt covariance (aka Hilbert-Schmidt independence criterion [Gretton et al. (2008)]) and related independence tests under the high dimensional scenario. We show that the sample…