WEI BIAO WU
Department of Statistics
University of Chicago
Testing for Trends in High-Dimensional Time Series
We consider statistical inference for trends of high-dimensional time series. Based on a modified L2-distance between parametric and nonparametric trend estimators, we propose a de-diagonalized quadratic form test statistic for testing patterns on trends, such as linear, quadratic or parallel forms. We develop an asymptotic theory for the test statistic. A Gaussian multiplier testing procedure is proposed and it has an improved finite sample performance. Our testing procedure is applied to a spatial temporal temperature data gathered from various locations across America. A simulation study is also presented to illustrate the performance of our testing method.
This is joint work with Likai Chen.
Friday, 11/16/18, BLOC 113, 11:30 AM