A new test statistic and bootstrap for independence testing of high-dimensional nonstationary time series that avoids whitening by removing temporal dependence bias under the null.
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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A conditional probabilistic framework using monthly Weibull parameters forecasted by Kalman filter on VAR(1), three Weibull-stationary SDE models, and XGBoost power curve mapping achieves CRPS of 1.57 m/s and low Wasserstein distances on real turbine data, preferring the diffusion-first model for sp
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Tests for Independence of High-Dimensional Nonstationary Time Series
A new test statistic and bootstrap for independence testing of high-dimensional nonstationary time series that avoids whitening by removing temporal dependence bias under the null.