A note on testing for homoscedasticity in high-dimensional time series
We consider the problem of testing for homoscedasticity in high-dimensional time series, under the assumption that the sample size n and the dimension p satisfy [Formula: see text] as [Formula: see text]. The homoscedasticity refers to the case where the covariance matrix of the time series is equal...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis
2024-12-01
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| Series: | Research in Statistics |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/27684520.2024.2394557 |