2 citations · 5 across the 6 of their papers we have counts for
4 papers · 1 filter
Confidence intervals for parameters in high-dimensional sparse vector autoregression
Ke Zhu, Hanzhong Liu
Vector autoregression (VAR) models are widely used to analyze the interrelationship between multiple variables over time. Estimation and inference for the transition matrices of VA…
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Feiyu Jiang, Dong Li, Ke Zhu
This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run compone…
New HSIC-based tests for independence between two stationary multivariate time series
Guochang Wang, Wai Keung Li, Ke Zhu
This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence crit…
Statistical inference for autoregressive models under heteroscedasticity of unknown form
Ke Zhu
This paper provides an entire inference procedure for the autoregressive model under (conditional) heteroscedasticity of unknown form with a finite variance. We first establish the…