72 citations · 765 across the 35 of their papers we have counts for
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math.ST2022★ 1 cited
Statistical inference for high-dimensional spectral density matrix
Jinyuan Chang, Qing Jiang, Tucker S. McElroy +1
The spectral density matrix is a fundamental object of interest in time series analysis, and it encodes both contemporary and dynamic linear relationships between component process…
econ.EM2022★ 17 cited
Testing the martingale difference hypothesis in high dimension
Jinyuan Chang, Qing Jiang, Xiaofeng Shao
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of th…