Establishes finite-sample Berry-Esseen bounds and valid block bootstrap for infinity-norm errors of covariance and precision matrix estimators under long-range dependence, permitting sub-exponential dimension growth.
Since ACCEPTED FOR PUBLICATION IN IEEE TRANSACTIONS ON INFORMATION THEORY 33 |G(s,t)|op ≤ |G (s,t)|F, we focus on the latter
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Simultaneous Inference for Covariance and Precision Matrices of Long-Range Dependent Time Series
Establishes finite-sample Berry-Esseen bounds and valid block bootstrap for infinity-norm errors of covariance and precision matrix estimators under long-range dependence, permitting sub-exponential dimension growth.