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most citedDifference-based covariance matrix estimate in time series nonparametric regression with applications to specification tests

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stat.ME2023★ 1 cited

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…

stat.ME2023

Time-varying correlation network analysis of non-stationary multivariate time series with complex trends

Lujia Bai, Weichi Wu

This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time serie…