Listagem por autor "Hallin, Marc"
Itens para a visualização no momento 1-4 of 4
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Asymptotic power of sphericity tests for high-dimensional data
2013-06This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observations go to infinity. We establish the ... -
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
2019-06Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance ... -
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
2020-02General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance ... -
Signal detection in high dimension: the multispiked case
2014-02This paper applies Le Cam's asymptotic theory of statistical experiments to the signal detection problem in high dimension. We consider the problem of testing the null hypothesis of sphericity of a high-dimensional covariance ...
