Statistics Department Seminar Series: Marie-Christine Düker, Postdoctoral Research Fellow, Department of Statistics and Data Science, Cornell University

Abstract: The long-run variance matrix and its inverse, the so-called precision matrix, give, respectively, information about correlations and partial correlations between dependent component series of multivariate time series around zero frequency. This talk will present non-asymptotic theory for estimation of the long-run variance and precision matrices for high-dimensional time series under general assumptions on the dependence structure including long-range dependence. The presented results for thresholding and penalizing versions of the classical local Whittle estimator ensure consistent estimation in a possibly high-dimensional regime. The highlight of this talk is a concentration inequality of the local Whittle estimator for the long-run variance matrix around the true model parameters. In particular, it handles simultaneously the estimation of the memory parameters which enter the underlying model. A simulation study and an application will also be presented. 

https://mariedueker.github.io/