Kavli Affiliate: Feng Long| Summary: We consider estimation of high-dimensional long-run covariance matrices for time series with nonconstant means, a setting in which conventional estimators can be severely biased. To address this difficulty, we propose a difference-based initial estimator that is robust to a broad class of mean variations, and combine it with hard thresholding, […]
Continue.. Difference-Based High-Dimensional Long-Run Covariance Matrix Estimation for Mean-shift Time Series