2 citations · 4 across the 12 of their papers we have counts for
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math.ST2021★ 2 cited
Local Whittle estimation of high-dimensional long-run variance and precision matrices
Changryong Baek, Marie-Christine Düker, Vladas Pipiras
This work develops non-asymptotic theory for estimation of the long-run variance matrix and its inverse, the so-called precision matrix, for high-dimensional time series under gene…
stat.ME2021★ 1 cited
Testing Simultaneous Diagonalizability
Yuchen Xu, Marie-Christine Düker, David S. Matteson
This paper proposes novel methods to test for simultaneous diagonalization of possibly asymmetric matrices. Motivated by various applications, a two-sample test as well as a genera…