Abstract
In this discussion, we present a brief overview of recent works on the behavior of summary statistics for high-dimensional observations that are time-dependent, and the inference on parameters associated with high-dimensional time series, with emphasis on covariance and auto-covariance matrices.
Citation
Debashis Paul. Lili Wang. "Discussion of “Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation”." Electron. J. Statist. 10 (1) 74 - 80, 2016. https://doi.org/10.1214/15-EJS1019
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