Showing math.STShow all
2 papers · 1 filter
math.ST2026
Horseshoe Predictive Inference
Percy S. Zhai, Veronika RoÄková
Predictive inference in the sparse Gaussian sequence model has received considerably less attention than its non-sparse, finite-sample counterpart. Existing work has largely been c…
math.ST2026
Simultaneous Inference for Covariance and Precision Matrices of Long-Range Dependent Time Series
Percy S. Zhai, Mladen Kolar, Wei Biao Wu
For time series with long-range temporal dependence, inference for covariance and precision matrices is non-trivial. We propose a Berry-Esseen type Gaussian approximation result th…