We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

Graphical models have become a very popular tool for representing dependencies within a large set of variables and are key for representing causal structures. We provide results for uniform inference on high-dimensional graphical models with the number of target parameters d being possible much...

A frequent challenge when using graphical models in applications is that the sample size is limited relative to the number of parameters to be learned. Our motivation stems from applications where one has external data, in the form of networks between variables, that provides valuable...

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...