49 citations · 94 across the 12 of their papers we have counts for
Showing 2015 · math.STShow all
2 papers · 2 filters
math.ST2015★ 34 cited
Testing equality of spectral densities using randomization techniques
Carsten Jentsch, Markus Pauly
In this paper, we investigate the testing problem that the spectral density matrices of several, not necessarily independent, stationary processes are equal. Based on an -type…
math.ST2015★ 49 cited
Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
Carsten Jentsch, Dimitris N. Politis
Multivariate time series present many challenges, especially when they are high dimensional. The paper's focus is twofold. First, we address the subject of consistently estimating…