Covariance and precision matrix estimation for high-dimensional time series

6 January 2014

Papers citing "Covariance and precision matrix estimation for high-dimensional time series"

11 / 11 papers shown

Title
On the partial autocorrelation function for locally stationary time series: characterization, estimation and inference Xiucai Ding Zhou Zhou 32 2 0 28 Jan 2024
Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting Jonathan B. Hill 31 0 0 22 Jan 2023
Covariance Structure Estimation with Laplace Approximation Bongjung Sung Jaeyong Lee CML 20 1 0 04 Nov 2021
Maximum likelihood estimation of potential energy in interacting particle systems from single-trajectory data Xiaohui Chen 28 25 0 21 Jul 2020
Prediction in locally stationary time series Holger Dette Weichi Wu 27 21 0 02 Jan 2020
Finite sample change point inference and identification for high-dimensional mean vectors Mengjia Yu Xiaohui Chen 29 37 0 23 Nov 2017
Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models Xin Ding Ziyi Qiu Xiaohui Chen 35 14 0 14 Apr 2016
Gaussian Approximation for High Dimensional Time Series Danna Zhang Wei Biao Wu 31 129 0 27 Aug 2015
Inference of high-dimensional linear models with time-varying coefficients Xiaohui Chen Yifeng He 42 9 0 12 Jun 2015
Estimation of Large Covariance and Precision Matrices from Temporally Dependent Observations Hai Shu B. Nan 36 20 0 16 Dec 2014
Time Varying Undirected Graphs Shuheng Zhou John D. Lafferty Larry A. Wasserman 116 240 0 20 Feb 2008