WebJun 4, 2014 · This article studies bootstrap inference for high dimensional weakly dependent time series in a general framework of approximately linear statistics. The following high dimensional applications are covered: (1) uniform confidence band for mean vector; (2) specification testing on the second order property of time series such as … WebJun 4, 2014 · We focus on the problem of conducting inference for high dimensional weakly dependent time series. Our results are motivated by the applications in modern high dimensional inference including (1) constructing uniform confidence band for high dimensional mean vector and (2) specification testing on the second order property of …
High-Dimensional Low-Rank Tensor Autoregressive Time Series …
Web3.3 Boostrap methods for time series. 3.3. Boostrap methods for time series. The boostrap is a computer-intensive resampling-based methodology that arises as alternative to asymptotic theory. The idea of … WebKeywordsandphrases:Bootstrap, high-dimensional time series, shrink-age estimation, spectral analysis. Received October 2013. 1. Introduction With the ubiquity of high-dimensional time series data, there is a need for de-velopments of statistical methods for spectral analysis of time series data that are robust to the curse of high-dimensionality. sherlock holmes master blackmailer youtube
Bootstrap Tests for High-Dimensional White-Noise
WebDec 1, 2024 · This paper proposes a new AR-sieve bootstrap approach on high-dimensional time series. The major challenge of classical bootstrap methods on high-dimensional time series is two-fold: the curse dimensionality and temporal dependence. To tackle such difficulty, we utilise factor modelling to reduce dimension and capture … WebDec 7, 2024 · A factor-based bootstrap procedure is constructed, which conducts AR-sieve bootstrap on the extracted low-dimensional common factor time series and then recovers the bootstrap samples for original data from the factor model. Asymptotic properties for bootstrap mean statistics and extreme eigenvalues are established. WebMar 1, 2024 · The green solid line represents the mean interval score for the high-dimensional functional time series model. The red colored dotted line represents the mean interval score for independent functional time series forecast. ... Kernel estimates of nonparametric functional autoregression models and their bootstrap approximation. … sherlock holmes magpie youtube