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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.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…