Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models
Monika Bours
◽
Ansgar Steland
2017 ◽
Vol 23
(4A)
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pp. 2299-2329
◽
Ansgar Steland
◽
Rainer von Sachs
Jianfeng Yao
◽
Shurong Zheng
◽
Zhidong Bai
2020 ◽
Vol 216
(1)
◽
pp. 53-70
◽
Yundong Tu
◽
Qiwei Yao
◽
Rongmao Zhang
2014 ◽
Vol 17
(2)
◽
pp. S101-S131
◽
Song Song
◽
Wolfgang K. Härdle
◽
Ya'acov Ritov
Rong Chen
◽
Dan Yang
◽
Cun-Hui Zhang
2013 ◽
Vol 123
(7)
◽
pp. 2678-2695
◽
Marc Hallin
◽
Marco Lippi
Hoang-Vu Nguyen
◽
Jilles Vreeken