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.
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NSTM maps European bidding zones into a network via metric graph and neighborhood measure, outperforming independent local models in day-ahead price forecasting across 39 zones.
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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.