On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime.
Philippe LoubatonAlexis RosuelPascal ValletPublished in: J. Multivar. Anal. (2023)
Keyphrases
- high dimensional
- gaussian distribution
- multi variate
- laplace transform
- small sample
- heavy tailed
- poisson distribution
- sample set
- large deviations
- extreme values
- normal distribution
- marginal distributions
- similarity search
- low dimensional
- multi dimensional
- nearest neighbor
- probability distribution
- data points
- absolute difference
- gaussian model
- parameter space
- dynamic time warping
- density function
- noisy data
- stock market
- non stationary
- probability density
- manifold learning
- data sets
- high dimensionality
- sample size
- random variables
- kernel function
- maximum likelihood
- neural network