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20202026
most citedMax-sum tests for cross-sectional dependence of high-demensional panel data

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stat.ME2022

Asymptotic Independence of the Sum and Maximum of Dependent Random Variables with Applications to High-Dimensional Tests

Long Feng, Tiefeng Jiang, Xiaoyun Li +1

For a set of dependent random variables, without stationary or the strong mixing assumptions, we derive the asymptotic independence between their sums and maxima. Then we apply thi…