Showing 2024Show all
2 papers · 1 filter
math.ST2024
Robust estimation for high-dimensional time series with heavy tails
Yu Wang, Guodong Li, Zhijie Xiao +2
We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite -th moment with . To…
stat.ME2024
Complex trend inference for high-dimensional piecewise locally stationary time series
Lujia Bai, David Veitch, Weichi Wu +2
This paper studies high-dimensional trend inference for piecewise smooth signals under nonstationary noise and asynchronous structural breaks by first detecting asynchronous change…