3 papers
stat.ME2025
Asymptotic Uniform False Discovery Rate Control for Inference of Time-varying Correlations
Bufan Li, Lujia Bai, Weichi Wu
Inference for locally stationary time series is challenging because the associated hypotheses form an uncountable collection over a continuous time interval, making pointwise false…
stat.ME2025
A portmanteau test for multivariate non-stationary functional time series with an increasing number of lags
Lujia Bai, Holger Dette, Weichi Wu
Multivariate locally stationary functional time series provide a flexible framework for modeling functional data exhibiting both temporal and spatial dependencies while allowing fo…
stat.ME2023
Difference-based covariance matrix estimate in time series nonparametric regression with applications to specification tests
Lujia Bai, Weichi Wu
Long-run covariance matrix estimation is the building block of time series inference. The corresponding difference-based estimator, which avoids detrending, has attracted considera…