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math.ST2020
Statistical Inference for High Dimensional Panel Functional Time Series
Zhou Zhou, Holger Dette
In this paper we develop statistical inference tools for high dimensional functional time series. We introduce a new concept of physical dependent processes in the space of square…
math.ST2020
Estimation and Inference of Time-Varying Auto-Covariance under Complex Trend: A Difference-based Approach
Yan Cui, Michael Levine, Zhou Zhou
We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it i…