Probability and moment inequalities under dependence

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Principal component analysis for second-order stationary vector time series (2014, methodology): “models are seldom used directly in practice when p ≥ 3. This is partially due to the lack of identifiability for VARMA models in general. More fundamentally, those models are overparametrized, leading to flat likelihood functions which cause innate difficulties in statistical inference. Therefore, f”
Inference of time-varying regression models (2012, background): “By Theorem 2(ii) in [35], there exist constants C1,C2 > 0 such that, for all λ ≥ 1 and l,”
Valid post-selection inference in model-free linear regression (2020, background): “It has also been shown that many econometric time series can be studied under the notion of functional dependence; see Wu and Mielniczuk (2010), Liu et al. (2013) and Wu and Wu (2016).”
Performance bounds for parameter estimates of high-dimensional linear models with correlated errors (2016, methodology): “The special case of Theorem 2 with a 1 = . . . = a n = 1 was treated in [23].”