2 papers
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…
math.ST2025
Estimation of High-dimensional Nonlinear Vector Autoregressive Models
Yuefeng Han, Likai Chen, Wei Biao Wu
High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly f…