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math.ST2025
Convergence of covariance and spectral density estimates for high-dimensional functional time series
Bufan Li, Xinghao Qiao, Weichi Wu +1
Second-order characteristics including covariance and spectral density functions are fundamentally important for both statistical applications and theoretical analysis in functiona…
math.ST2025
Practically significant change points in high dimension -- measuring signal strength pro active component
Pascal Quanz, Holger Dette
We consider the change point testing problem for high-dimensional time series. Unlike conventional approaches, where one tests whether the difference of the mean vectors before…
math.ST2025
Pivotal inference for linear predictions in stationary processes
Holger Dette, Sebastian Kühnert
In this paper we develop pivotal inference for the final (FPE) and relative final prediction error (RFPE) of linear forecasts in stationary processes. Our approach is based on a se…