172 citations · 550 across the 37 of their papers we have counts for
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math.ST2016★ 6 cited
Applications of Distance Correlation to Time Series
Richard A. Davis, Muneya Matsui, Thomas Mikosch +1
The use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit, has a long history d…
math.ST2016★ 24 cited
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
Richard Davis, Johannes Heiny, Thomas Mikosch +1
We provide some asymptotic theory for the largest eigenvalues of a sample covariance matrix of a p-dimensional time series where the dimension p = p_n converges to infinity when th…