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20172021
most citedStatistical Estimation of High-Dimensional Vector Autoregressive Models

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math.ST2017

EstimatedWold Representation and Spectral Density-Driven Bootstrap for Time Series

Jonas Krampe, Jens-Peter Kreiss, Efstathios Paparoditis

The second-order dependence structure of purely nondeterministic stationary process is described by the coefficients of the famous Wold representation. These coefficients can be ob…