Simultaneous Inference for Covariance and Precision Matrices of Long-Range Dependent Time Series
长程依赖时间序列协方差矩阵与精度矩阵的同时推断
For time series with long-range temporal dependence, inference for covariance and precision matrices is non-trivial. We propose a Berry-Esseen type Gaussian approximation result that gives a finite-sample bound for the Kolmogorov distance between the infinity norms of the estimation error of sample covariance matrix and the corresponding Gaussian approximation. The method utilizes martingale and m-dependent approximation and relies on constructing triadic blocks. We also…