Inverse covariance operators of multivariate nonstationary time series
Author:
Affiliation:
1. Department of Economics, University of Mannheim, Mannheim, Germany
2. Department of Statistics, Texas A&M University, College Station, USA
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Reference36 articles.
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3. Truquet, L. (2019). Local stationarity and time-inhomogeneous Markov chains. Ann. Statist. 47 2023–2050. 10.1214/18-AOS1739
4. Dahlhaus, R. (1997). Fitting time series models to nonstationary processes. Ann. Statist. 25 1–37. 10.1214/aos/1034276620
5. Zhou, Z. and Wu, W.B. (2009). Local linear quantile estimation for nonstationary time series. Ann. Statist. 37 2696–2729. 10.1214/08-AOS636
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1. Inverse covariance operators of multivariate nonstationary time series;Bernoulli;2024-05-01
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