Scandinavian Journal of Statistics, Vol. 45, No. 3 (September 2018), pp. 699-728 (30 pages) Let Xn = (xij) be a k × n data matrix with complex-valued, independent and standardized entries satisfying a ...

High-dimensional nonGaussian time series data are becoming increasingly common. However, the conventional methods used to estimate mean vectors and second-order characteristics are inadequate for ...