This paper proposes a novel covariance estimator via a machine learning approach when both the sampling frequency and covariance dimension are large. Assuming that a large covariance matrix can be decomposed into low rank and sparse components, our method simultaneously provides a consistent...

Wavelet analysis is a new mathematical tool developed as a unified field of science over the last decade. As spatially adaptive analytic tools, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can arise from persistent/strong dependence, seasonality...

This paper proposes an adjusted-range based self-normalized tests for changes in correlation coefficient and correlation matrix. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance of a partial sum process as the self-normalizer, here we...