no code implementations • 11 Sep 2022 • Jinyuan Chang, Qing Jiang, Xiaofeng Shao
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series.
1 code implementation • 18 Feb 2022 • Tianning Xu, Ruoqing Zhu, Xiaofeng Shao
To bridge these gaps in the literature, we propose a new view of the Hoeffding decomposition for variance estimation that leads to an unbiased estimator.
no code implementations • 29 Jan 2021 • Yangfan Zhang, Runmin Wang, Xiaofeng Shao
In this article, we propose a class of test statistics for a change point in the mean of high-dimensional independent data.
Methodology