Gaussian approximation for nonstationary time series with optimal rate and explicit construction
非平稳时间序列的最优速率高斯逼近与显式构造
Statistical inference for time series such as curve estimation for time-varying models or testing for existence of change-point have garnered significant attention. However, these works are generally restricted to the assumption of independence and/or stationarity at its best. The main obstacle is that the existing Gaussian approximation results for non-stationary processes only provide an existential proof and thus they are difficult to apply. In this paper, we provide two…