Mengyu Xu

activity

20142020

most citedCovariance and precision matrix estimation for high-dimensional time series

96 citations · 160 across the 5 of their papers we have counts for

collaborators

Showing 2014Show all

2 papers · 1 filter

math.ST2014★ 7 cited

$L^{2}$ Asymptotics for High-Dimensional Data

Mengyu Xu, Danna Zhang, Wei Biao Wu

We develop an asymptotic theory for $L^{2}$ norms of sample mean vectors of high-dimensional data. An invariance principle for the $L^{2}$ norms is derived under conditions that involv…

math.ST2014★ 96 cited

Covariance and precision matrix estimation for high-dimensional time series

Xiaohui Chen, Mengyu Xu, Wei Biao Wu

We consider estimation of covariance matrices and their inverses (a.k.a. precision matrices) for high-dimensional stationary and locally stationary time series. In the latter case…

L2 Asymptotics for High-Dimensional Data

Covariance and precision matrix estimation for high-dimensional time series

$L^{2}$ Asymptotics for High-Dimensional Data