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stat.ME2022
Projection inference for high-dimensional covariance matrices with structured shrinkage targets
Fabian Mies, Ansgar Steland
Analyzing large samples of high-dimensional data under dependence is a challenging statistical problem as long time series may have change points, most importantly in the mean and…
math.PR2022★ 2 cited
Sequential Gaussian approximation for nonstationary time series in high dimensions
Fabian Mies, Ansgar Steland
Gaussian couplings of partial sum processes are derived for the high-dimensional regime . The coupling is derived for sums of independent random vectors and subsequen…