GAUSSIAN APPROXIMATIONS FOR NON-STATIONARY MULTIPLE TIME SERIES

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Heteroscedasticity and Autocorrelation Robust Structural Change Detection (2013, background): “The proof of Proposition 5 is a straightforward extension of that of Corollary 1 of Wu and Zhou (2011).”
Simultaneous inference of linear models with time varying coefficients (2010, methodology): “{S0Z.i/}ni=0 and max i n ∣∣∣∣S0Z.i/− i∑ j=1 ΣW,jVj ∣∣∣∣=oP{n3=10 log.n/}, .10/ where ΣW,j =ΣW.tj/, ΣW.t/= [∑ l∈Z cov{W.t, F0/, W.t, Fl/} ]1=2 : .11/ Theorem 2 follows from corollary 2 in Wu and Zhou (2009).”
Locally Stationary Processes (2011, background): “Wu and Zhou (2011) obtain an invariance principle for non-stationary vector-valued stochastic processes.”